Filling: In bowl, beat together feta, ricotta and Romano cheeses, eggs, pepper, cinnamon and nutmeg until fairly smooth with some larger chunks. Stir in walnuts, green onions, parsley and dill. (Make-ahead: Cover and refrigerate for up to 24 hours.)
Place 1 sheet of phyllo on work surface, covering remainder with damp towel to prevent drying out. Brush lightly with some of the butter; cut lengthwise into 4 equal strips.
Spoon about 1 tbsp (15 mL) of the filling about 1/2 inch (1 cm) from end of each strip. Fold 1 corner of phyllo over filling so bottom edge meets side edge to form triangle; fold up triangle. Continue folding triangle sideways and upward to end of strip, without wrapping too tightly. Repeat with remaining phyllo and filling.
Place triangles on parchment paper–lined rimless baking sheets; brush with some of the remaining butter. (Make-ahead: Cover with plastic wrap; refrigerate for up to 24 hours. Or freeze until firm; layer between waxed paper in airtight container and freeze for up to 2 weeks. Bake frozen.).
Bake in top and bottom thirds of 400°F (200°C) oven until golden, about 15 minutes, 20 minutes if frozen.