In a mini food processor (or bowl), combine anchovy, garlic, egg yolk, Dijon, and Worcestershire. Pulse or whisk to combine.

With the motor running (or whisking constantly), slowly drizzle in oil, starting with a few drops at a time to begin emulsification.

Continue adding oil in a thin stream until fully incorporated and the mixture thickens to mayonnaise consistency.

Add a small splash of water and mix again to loosen to a heavy cream consistency, adding more water as needed.

Fold in Parmesan and season to taste with kosher salt and freshly ground black pepper.

Use immediately or chill until ready to serve.