Place clams in a large frying pan with 1¼ cm water. Bring to the boil and cover. Cook 4 minutes or until clams open. Start checking after 2 minutes. Remove clams as they open; discard any that do not. Transfer clams to a bowl; when cool enough to handle, discard top shell halves. Place shell halves with clams attached on a baking tray.
Preheat oven to 220°C. In a small saucepan, heat 2 tsp oil over low heat. Add the onion and garlic; sauté for 5 minutes or until soft. Whisk in flour and cook for 1 minute. Whisk in milk and cayenne; cook for 3 minutes or until lightly thickened. Stir in spinach. Spoon spinach mixture over clams.
Combine breadcrumbs and parmesan in a small bowl. Top clams with breadcrumb mixture and drizzle with remaining oil. Bake just until clams are bubbly and hot, about 5 minutes.