Drain the spinach -- squeeze out all excess liquid.
Mix with the cheeses and add the egg, lemon peel, a little nutmeg, salt and pepper.
Place a sheet of phyllo dough on a cutting board and brush with melted butter. With a sharp knife, cut the sheet into 5 pieces, each about 3 inches wide.
Place a scant 1 T. filling at the bottom of each piece (don't fill it too full or the phyllo won't be able to crisp up over the filling), and roll up so as to form a triangle (think flag folding). Move one side to the other until the whole is rolled up. Contine with remaining phyllo and spinach mixture until all spinach is gone.
Bake on a buttered cookie sheet at 400 degrees F. for about 15-20 minutes, or until lightly golden brown.