Mix whole wheat flour, vegetable oil, milk, sugar, and 1/2 teaspoon salt together using a fork in a 9-inch pie plate; press mixture into the shape of a pie crust.
Combine asparagus, vegetable broth, and shallots in a pot; bring to a boil. Cook until asparagus is tender, 5 to 10 minutes. Pour mixture into a blender no more than half full. Cover and hold lid down; pulse a few times before leaving on to blend. Puree until smooth.
Melt butter in the same pot over medium heat; slowly whisk flour into the melted butter until paste-like consistency. Mix 1/2 teaspoon salt, black pepper, and cayenne pepper into the flour paste; slowly whisk in yogurt. Add asparagus mixture to yogurt mixture; fold in 1/2 cup Parmesan cheese and Gorgonzola cheese until smooth. Pour mixture into pie crust; top with 1 tablespoon Parmesan cheese.
Bake in the preheated oven until pie is set in the middle and crust is brown, 30 to 35 minutes.