In a large, straight-sided skillet over medium heat, heat oil. Cook nutmeg and 1 teaspoon sage, stirring, just until aromatic, about 30 seconds. Add onion; season with salt. Cook, stirring often, until softened and translucent, 6 to 8 minutes.
Add rice and stir until it just begins to toast, about 1 minute. Add wine and cook, stirring occasionally, until almost completely evaporated, 2 to 3 minutes.
Reduce heat to medium-low. Ladle ¾ cup broth over rice and cook, stirring occasionally, allowing rice to simmer gently. Once rice almost absorbs broth, repeat in batches with remaining broth until rice is tender and cooked through and risotto is viscous and saucy, 25 to 30 minutes.
Fold in Pecorino Romano, pumpkin puree, butter, and 1 teaspoon sage. Cook, stirring, until heated through, about 5 minutes.
Divide risotto among bowls. Top with ricotta salata and sage leaves.
