Cut the top from the loaf of bread using a serrated knife. Pull out the center, tearing one piece at a time to create a bowl from the bread crust. Cut the top into 1” (2.5 cm) cubes for dipping. Set aside.
Melt butter in small saucepan over low heat. Whisk in flour until well blended and cook for one minute. Gradually add milk and white wine, increase heat to medium and whisk constantly until slightly thickened. Stir in nutmeg, cheese, thyme and cayenne. Season with salt and pepper. Pour the mixture into the bread bowl and serve with reserved bread and assorted vegetables for dipping.