Toast walnuts in a heavy-bottomed skillet over medium heat, stirring often, until lightly browned, 10 minutes. Remove from pan and let cool. Chop coarsely.
In a medium bowl, mix pumpkin, walnuts, flour, Pecorino Romano, and salt and pepper to taste. Add egg and nutmeg and stir in. Refrigerate at least one hour to make dough easier to handle.
Place breadcrumbs in a shallow bowl. Roll dough into walnut-size balls and dredge in breadcrumbs. Place on baking sheet and refrigerate at least 1 hour.