Melt the butter in a heavy-bottomed saucepan over medium heat. Saute the onions and shallots until translucent, about 4 minutes. Slowly whisk in the flour to make a roux. Cook the roux for 4 minutes. Add Cajun spice and sherry. Whisk constantly to eliminate any lumps. Reduce the sherry by half, about 3 minutes.
Slowly add the half and half and bring the soup to a simmer. Simmer for about 20 minutes until thickens, stirring frequently to assure the soup does not scorch on the bottom. Stir in the lemon zest and nutmeg. Carefully stir 2/3 of the crabmeat, taking care not to break up the lumps.
Portion the soup into 4 bowls and evenly distribute the remaining 1/3 crab into each bowl. Garnish with the chopped chives.