In a large bowl, combine the egg, milk, ketchup, Worcestershire sauce, oats, onion, parsley, salt and pepper. Crumble beef over mixture and mix well.
Shape into 1-1/2-in. balls. Roll in flour, shaking off excess.
Place meatballs on greased racks in shallow baking pans. Bake, uncovered, at for 10 minutes. Turn meatballs; bake until meat is no longer pink, 12-15 minutes longer.
Cream Sauce
Melt butter in a saucepan over medium heat. Stir in the flour, thyme, salt and pepper until smooth.
Gradually add broth and half and half. Bring to a boil; cook and stir until thickened, 2 minutes.
Drain meatballs on paper towels; transfer to a serving dish. Serve with sauce; sprinkle with parsley.