Combine tepid water and sugar in small bowl, add yeast and stir. Allow to proof for 10 minutes.
In bread machine using dough cycle, or in heavy duty mixer with dough hook, combine yeast mixture with flour nutmeg and salt. Mix/knead until smooth and elastic. Transfer to bowl oiled with 1 tablespoons oil, cover with plastic wrap and let rise until double, about 1 hour.
Mix remaining ingredients in bowl until well blended. Refrigerate.
Punch down dough and divide into 2 balls. Roll 1 ball into 9x13-inch rectangle. Spread half of filling mixture on dough and roll up. Cut roll into 1 to 1-1/2-inch slices. Place slices into non-stick 8-inch cake pan (put them kinda close together), cover and allow to rise 1/2 hour.
When risen, bake in preheated 350°F oven for 15 to 20 minutes, or until golden brown.