In a large mixer bowl, combine 2 cups of the flour, the nutmeg, and yeast. In a small saucepan, heat milk, the 1/4 cup sugar, 1/4 cup butter, and the salt just until warm (120 degrees F to 130 degrees F) and butter almost melts. Add to flour mixture; add egg. Beat with an electric mixer on low speed for 30 seconds, scraping side of bowl constantly. Beat 3 minutes on high speed. Stir in lemon peel and as much of the remaining flour as you can mix in with a wooden spoon.
On a lightly floured surface, knead in enough of the remaining flour to make a moderately soft dough that is smooth and elastic (3 to 5 minutes total). Shape into a ball. Place in a lightly greased bowl; turn once to grease surface. Cover; let rise in a warm place until double (about 45 minutes).
Punch dough down and turn out onto a lightly floured surface; divide in half. Cover; let rest 10 minutes. Grease 3 or 4 cookie sheets; set aside.
In a medium bowl, combine the 1 cup sugar, 1/4 cup melted butter, and 1/2 teaspoon ground cinnamon. Roll half of the dough into a 12-inch square. Spread half of the sugar mixture over the dough square. Roll up into a spiral; seal seam. Using a sharp knife, cut into 12 slices. Place slices, cut sides up, on prepared cookie sheets 3 to 4 inches apart. Repeat with remaining dough and remaining sugar mixture. Cover rolls with waxed paper. Using a rolling pin, roll each to a 4-inch circle; remove paper. Brush rolls with the 2 tablespoons melted butter.
In a small bowl, combine the 3/4 cup sugar, pecans (if desired), and 1/2 teaspoon ground cinnamon. Sprinkle over dough circles. Cover with waxed paper again and roll gently to press in sugar mixture. Remove paper.
Bake in a 400 degree F oven about 10 minutes or until golden. Immediately transfer rolls to wire racks; cool completely. Makes 24 rolls.