Preheat your oven to 400°F and line a baking sheet with parchment paper.
Slice the eggplant into rounds, arrange them on the baking sheet, brush with half the olive oil, and roast for 15 minutes until tender.
While eggplant roasts, brown the ground lamb in a skillet over medium-high heat, breaking it into small crumbles.
Add the diced yellow onion and minced garlic to the skillet, sautéing for 3 minutes until the onion is translucent.
Stir in the tomato puree, dried oregano, cinnamon, sea salt, and black pepper, then simmer for 5 minutes until the sauce has thickened.
In a separate bowl, whisk together the Greek yogurt, egg, parmesan cheese, and nutmeg until the mixture is smooth and creamy.
In a small oven-safe baking dish, layer half of the roasted eggplant slices, top with the lamb mixture, and then the remaining eggplant.
Pour the yogurt custard over the top layer, spreading it evenly to the edges of the dish.
Reduce oven heat to 375°F and bake the moussaka for 20-25 minutes until the custard is set and the top is beautifully golden brown.