In a medium saucepan over medium heat, melt butter. Add onion and cook for 5 minutes, stirring occasionally. Whisk in flour and cook for 1 minute. Whisk in milk, dry mustard, cayenne pepper, paprika, and salt. Bring to a boil over high heat, stirring occasionally. Reduce heat and simmer for 3 minutes or until thickened, stirring frequently.
2 tbsp unsalted butter, 1/2 cup chopped onion, 3 tbsp all-purpose flour, 2 cups milk, 1 tsp dry mustard, pinch of cayenne pepper, pinch of smoked paprika, 1/2 tsp salt