Prepare a béchamel sauce by combining the milk, bay leaf, onion, peppercorns and celery in a small, heavy-based saucepan. Heat on medium heat until bubbles form around the edge of the saucepan. Remove from the heat and stand at room temperature for 15 minutes to cool. Strain and reserve the milk.
Melt the butter in a small saucepan until hot and bubbling. Add the flour and stir constantly for 1 minute. Remove from the heat and add the milk in a slow, steady stream, whisking constantly to avoid the sauce becoming lumpy. Return the saucepan to the heat and cook the sauce, stirring constantly, on medium-high heat until it comes to the boil and thickens. Season to taste with sea salt, white pepper and nutmeg.
Preheat the oven to 200°C. Pat the oysters dry with paper towels. Spoon 1 teaspoon of the béchamel sauce into the base of each vol-au-vent case. Top with an oyster and spoon over a little extra béchamel sauce.
Bake the patties for 8–10 minutes, or until the pastry is crisp and hot. Just before serving, sprinkle with chopped chives.