Place bay leaf, cloves, and thyme sprig on a square of 100-percent-cotton cheesecloth. Bring up corners and tie closed with clean string; set aside.
In a large saucepan or 4-quart Dutch oven, melt butter over medium heat. Add celery, onion, and garlic; cook and stir about 5 minutes or until tender. Add cheesecloth bag, chicken broth, pork hocks, split peas, carrot, and pepper. Bring to boiling; reduce heat. Cover and simmer for 45 to 55 minutes or until split peas are tender, stirring occasionally.
Remove and discard cheesecloth bag. Remove pork hocks from Dutch oven. When cool enough to handle, remove meat from bones. Discard bones. Chop meat. Return meat to Dutch oven. Stir in milk and bottled hot pepper sauce; heat through. If desired, sprinkle each serving with Parmesan cheese.