For the gnocchi: Combine the mascarpone cheese, Parmesan, salt, nutmeg, lemon zest, egg and egg yolk in a bowl. Beat together using a hand mixer on medium speed until light and fluffy, about 1 minute. Gradually beat in the flour until the mixture forms a soft dough.
Sprinkle a pie pan or rimmed baking sheet with flour. Drop 1-teaspoon-size pieces of dough into the pie pan using 2 small spoons. Shake the pan gently to cover the dough with flour. Gently roll the pieces of dough into oval shapes.
Bring a large saucepan of salted water to a simmer.
For the sauce: Meanwhile, cook the butter and salt in a heavy medium skillet until it begins to brown, about 2 minutes. Remove the skillet from the heat and stir in the thyme leaves. Set aside.
Carefully add the gnocchi, in batches, to the simmering water. The gnocchi should sink and then float to the top. As soon as the gnocchi begin to float, cook for 5 to 6 minutes. Transfer to the hot thyme butter in the skillet using a slotted spoon. Toss to coat.
Spoon the gnocchi and butter sauce into shallow bowls. Top with the Pecorino Romano and serve.