Preheat your oven to 350 Fahrenheit or 175 Celcius.
Heat 2 tablespoons of olive oil in a large skillet over medium heat. Once hot add in the diced onion and cook for 5 minutes or until translucent.
½ cup olive oil, 1 white onion
Add the pumpkin purée and the nutmeg. Season to taste, and cook for another 5 minutes.
2 cups pumpkin puree or roasted mashed pumpkin, ⅛ teaspoon ground nutmeg
Once heated through remove from heat and allow to cool completely.
Remove the thawed phyllo (filo) dough from the packaging, place it near your work surface and cover it with a damp dishcloth to prevent the pastry from drying out.
12 phyllo (filo) sheets
Take one sheet of the phyllo pastry and place it on your clean work surface. Using a silicone brush, spread the olive oil all over the sheet.
Place the second sheet of phyllo on top of the first oil-covered sheet. Repeat the previous step and brush the whole sheet with olive oil.
Spread ¼ cup of the pumpkin filling at the bottom of the sheet on the horizontal (usually shorter) side.
Add a heaped tablespoon of the crumbled feta on top of the filling.
¾ cup crumbled feta cheese
Roll the pumpkin-filled sheets into a tight log. Twist the log into a spiral or a roll, and place it on a lined baking sheet. Repeat this step with the remaining pastry and filling.
Brush the finished rolls with the remaining olive oil, and place them into the oven on the baking tray. Cook in the oven for 30 minutes, or until golden and slightly crispy.
Remove the cooked rolls from the oven and sprinkle with fresh thyme on top.
2 tablespoons fresh thyme
Serve immediately.