In a large skillet, heat the oil over medium-high heat. Add onion and cook, stirring, until soft, 5 minutes. Stir in the broth and water; bring to a boil. Gradually stir in cereal and cook, stirring, until thickened, 5 minutes. Remove from heat and let cool slightly.
Meanwhile, preheat oven to 350°F. Grease a shallow 2-quart baking dish.3. In a large bowl, whisk together the milk, eggs, and cayenne; gradually stir in the cooled cereal mixture and the cheese. Spread the mixture in the baking dish and bake until puffy and golden, and a toothpick inserted into the center comes out clean, about 30 minutes.