PREHEAT OVEN TO 375F. Toss together the turnips and onion with the melted butter and place in a 9-inch square or round baking dish. Cover tightly and place in preheated oven for 30 minutes. In a small pot over medium heat, combine cream, anchovies, nutmeg and pepper. Bring to a boil and let cook 1 minute. Remove turnips from oven, remove cover and pour the cream mixture over them. Sprinkle with Roquefort and return to oven. Let bake, uncovered, another 20 to 25 minutes. If the gratin is golden brown, it's ready to serve. If not, preheat broiler. Place gratin under hot broiler about 3 minutes to brown the top before serving. May be prepared a couple of hours in advance to this point and kept covered at room temperature.