Combine flour, salt and nutmeg in a medium bowl; cut the butter into the mixture until it resembles coarse cornmeal.
Sprinkle with cold water. Mixing with a fork until all flour is moistened, gather into a ball, refrigerate 1 hour.
Press dough on lightly floured surface into 4 inch squares. Roll dough into a 12×18 inch rectangle. Fold narrow ends toward center forming an 8×4 inch rectangle; turn dough ¼ turn. Repeat 2 more times.
Refrigerate for 30 minutes wrapped in wax paper after each time.
Roll dough lightly on floured wax paper to 13×9 inches. Refrigerate for 30 minutes.
Heat oven to 400 degrees.
Beat egg, and 1 tbls water in a small bowl until foamy. Combine cheese, salt and pepper in a small bowl. Brush dough with egg mixture and sprinkle with cheese mixture.
Cut dough with pastry wheel or knife into rectangles and diamonds about 2 inches long.
Place on ungreased baking sheet. Bake 20 minutes, cool, and store at room temperature.