Place oven rack in center of the oven and preheat to 400F.
Preheat a small pan over medium to medium-high heat. Add EVOO and onion, and saut 5 minutes. Transfer cooked onion to a mixing bowl and add spinach. Season with salt, pepper and nutmeg. Add feta, egg and sour cream to the bowl and mix well to combine.
On a large work surface, place 1 sheet of phyllo. Paint half of the sheet with a little melted butter, paying extra attention to the 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 should 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 to make 4 rolls.
Transfer to the oven and bake 15 minutes or until lightly golden all over.