Preheat the oven to 400 degrees. Line a large baking sheet with parchment paper or foil.
To make the meatballs, in a large bowl, combine the beef, panko bread crumbs, parmesan cheese, egg, Italian seasoning, 1/2 teaspoon salt, and 1/4 teaspoon black pepper. Mix well and shape the mixture into 16 to 20 meatballs. Transfer the meatballs to the prepared pan and bake for 20 to 25 minutes, until browned and cooked through.
Meanwhile, to make the cream sauce, melt the butter in a large skillet or saucepan over medium-high heat. Add the onion and cook for 3 to 5 minutes, until soft. Add the flour and stir to coat. Add the Marsala wine and bring to a simmer. When the liquid has reduced by half, add the broth and Worcestershire sauce and bring to a simmer. Reduce the heat to low and simmer for 5 minutes.
Stir in the cream until blended. Add the meatballs and cook for 1 to 2 minutes to heat through.