In a large mixing bowl, combine warm Greek yogurt, canned pumpkin puree, melted unsalted butter, granulated sugar, and the egg. Mix until smooth and creamy, ensuring all ingredients are well incorporated.

Sprinkle the active dry yeast over the mixture and let it sit undisturbed for about 5 minutes until it starts to foam.

Gradually add all-purpose flour and salt to the yeasted mixture. Stir until a soft dough starts to form. Turn the dough onto a floured surface and knead for 5-7 minutes until smooth and elastic.

Place the kneaded dough in an oiled bowl, cover with a kitchen towel, and let it rise for about 45 minutes until doubled in size.

Once risen, punch down the dough, transfer to a floured surface and roll it out into a rectangle about ¼ inch thick.

Sprinkle a mixture of brown sugar, ground cinnamon, and ground nutmeg evenly over the rolled-out dough, then tightly roll it from one end to the other.

Carefully slice the rolled dough into 9 equal pieces and arrange in a greased baking dish.

Cover with a towel and let the rolls rise for 15 minutes. Meanwhile, preheat the oven to 350°F (175°C). Bake for 25 minutes until golden brown.