Pre-heat the oven to 200°C.
Heat the olive oil in a large frying pan over a medium heat and sweat the onion and garlic for 6-7 minutes, stirring occasionally. Remove from the heat and stir in the chopped walnuts, chives, goat's cheese and seasoning.
Lay the sheets of filo on a flat surface and spoon the filling into the bottom third of the filo pastry. Brush the edges with the beaten egg. Fold the ends in and roll up into parcels. Arrange on a lined baking tray and brush with the melted butter. Bake for 18-22 minutes until golden brown and crispy.
Place the lettuce leaves on a serving plate and stack the nems on top. Garnish with the walnuts and serve immediately.