Preheat the oven to 220°C (428°F) top/bottom heat. Whisk the egg and mix it with the ricotta. Season with nutmeg, salt, and pepper. Lightly moisten a clean, large kitchen towel. Lay out one sheet of strudel dough on the kitchen towel. Place the bacon on top. Place the second sheet of strudel dough on top. Spread the ricotta on top. Spread the arugula on top.
Carefully but tightly roll up the strudel by lifting the towel. Roll the strudel from the towel onto a baking sheet lined with parchment paper. Brush the strudel with olive oil. Bake in the lower half of the oven for 10 minutes. Brush with olive oil again and bake for another 8 minutes.