Preheat oven to 350°.
To prepare rolls, combine first 3 ingredients in a small saucepan. Cook over medium-low heat 5 minutes. Cool; discard lemon. Place almonds, 1 1/2 tablespoons sugar, 1/2 teaspoon cinnamon, and nutmeg in a food processor; process until coarsely chopped.
Place 2 phyllo sheets on a large cutting board or work surface (cover remaining dough to keep from drying); lightly brush with 1 1/2 teaspoons oil mixture. Top with 2 phyllo sheets, and lightly brush with 1 1/2 teaspoons oil mixture. Sprinkle about 2 1/2 tablespoons almond mixture evenly over phyllo stack, leaving a 1 1/2-inch border on 1 short edge. Crumble one-third shredded phyllo over almond mixture; top with 2 1/2 tablespoons almond mixture.
Starting at short edge without border, tightly roll up phyllo stack jelly-roll fashion. Lightly brush border and outside of roll with 1 1/2 teaspoons oil mixture. Cut roll evenly into 10 pieces. Repeat procedure twice with remaining sheets of phyllo, oil mixture, almond mixture, and shredded phyllo. Place all 30 rolls on a jelly-roll pan or baking sheet coated with cooking spray. Bake at 350° for 30 minutes.
To prepare syrup, combine sugar and remaining ingredients in a large saucepan. Cook over medium heat 5 minutes or until sugar dissolves; discard lemon and cinnamon stick.
Carefully place baked baklava rolls, cut sides up, in a 13 x 9-inch baking pan coated with cooking spray (rolls will fit snugly). Pour syrup over rolls; let stand at room temperature for 3 hours. Carefully turn rolls; cover and let stand 8 hours.