Spray an 8 x 12 gratin dish or casserole with olive oil. Add the sprouts and season with salt and pepper. Drizzle more olive oil over the sprouts and bake for 20 minutes, tossing once at the mid-point.
Heat a medium sauce pan over medium heat. Add the butter and cook the shallots until softened, about 4 minutes.
Cook the almond flour in the pan whisking for 2 minutes. Add the cream and stir until the roux is incorporated into the cream. Cook over medium-low heat for 4 minutes, stirring until the sauce thickens.
Add the thyme, parmesan cheese, and half of the grated Manchego into the white sauce. Stir until melted.
Pour the sauce over the Brussel Sprouts, and top with remaining Manchego cheese. Bake for 15 minutes until the top is lightly browned and bubbly.
Add Manchego shavings as a topping before serving.
Swiss cheese or Gruyere can be substituted for the Manchego.