Preheat oven to 400°F. Slice the eggplant into 1/2-inch rounds, brush lightly with olive oil, sprinkle with sea salt, and roast on a parchment-lined sheet for 20 minutes until tender.
While the eggplant roasts, brown the ground lamb in a skillet over medium heat with the diced yellow onion and minced garlic until the meat is fully cooked.
Stir in the tomato puree, dried oregano, and ground cinnamon, then simmer for 5 minutes until the mixture is thick and fragrant.
In a small mixing bowl, whisk together the Greek yogurt, egg, parmesan cheese, and ground nutmeg to create the protein-rich béchamel topping.
In a small oven-safe baking dish, layer half of the roasted eggplant slices, followed by the entire lamb mixture, and then the remaining eggplant slices.
Spread the yogurt béchamel evenly over the top layer of eggplant and bake at 375°F for 20-25 minutes until the topping is set and golden brown.