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.
We first tasted the rolls just two hours after we made them, and they were delicious. Letting them stand for the full 11 hours, however, allows them to soak up more flavor, making them even better. Find the shredded phyllo called kataifi (ka-ta-EE-fee) in Middle Eastern markets.