Place oven rack in center of the oven and preheat to 400 degrees F.
Preheat a small pan over medium to medium high heat. Add oil and onion and saute 5 minutes. Place onion in a bowl. Add chopped dry, defrosted spinach and season with salt, pepper and nutmeg. Add feta to the bowl and combine it with spinach. Add beaten egg and sour cream to the bowl and combine with cheese, spinach and onion.
On a large work surface, place 1 sheet of phyllo. Paint half of the sheet with a little melted butter, paying extra attention to your perimeter. Fold sheet in half. Pile 1/4 of your spinach mixture into a log shape working 2 inches from bottom and each side. Tuck bottom up and fold both sides in, then roll and wrap upwards until you reach the edge of the dough sheet. Each pastry will resemble an egg roll. Paint the seam and the ends of the roll with butter and set roll seam side down on a cookie sheet. Repeat and make 4 rolls. Bake 15 minutes or until lightly golden all over and serve.