Preheat oven to 400°. Line a baking sheet with parchment paper or spray lightly with nonstick cooking spray.
Heat oil in a medium skillet. Add onions and bell peppers and cook over medium-high heat 3–4 minutes until onions are translucent and peppers are soft. Add spinach and cook until wilted, another 3–4 minutes. Set skillet aside.
In a large bowl, whisk together flour, baking powder, salt, pepper, and nutmeg.
Using a box grater, grate in cold butter and work into flour mixture with your fingers until coarse pea-sized crumbs form. Work in cream cheese, sun-dried tomatoes, and cooked vegetables the same way. The spinach will require a little extra attention—separate the cooked leaves so spinach is evenly distributed throughout the dough.
Pour in ½ cup of milk and work into flour mixture. Add remaining ¼ cup milk as needed. The dough should not be wet, but you should be able to knead it easily. Knead about 3 times, careful not to over-work the dough, then form into a big ball.
Scatter flour lightly across a clean work surface and place dough on the flour. Pat and press into a disc that’s about ¾-inch thick. Cut disc into 8 wedges.
Brush the top of each scone with lightly beaten egg and place scones on the prepared baking sheet, at least an inch apart.
Bake for about 20 minutes.
Serve warm or at room temperature. Scones can be stored in an airtight container for several days.
