Preheat oven to 400°F. Place the apricots, dates, walnuts, cinnamon, nutmeg, salt, and sugar into a food processor and pulse until well combined. Add in the jam, 1 tablespoon at a time until the mixture clumps together.
Roll out one-half of the puff pastry in between two sheets of parchment paper into a 12-inch circle. Using a pizza cutter, cut about ten even triangles. Place a small ball of the filling at the small tip of the triangle.
Beginning at the opposite side, roll dough up to cover, sealing the tip when the filling is all bundled up. Repeat with the other half of the dough. Place the cookies onto an ungreased cookie sheet on the middle rack of the oven, about 1 inch apart, and bake for 20 minutes, or until golden brown. Store in airtight container for up to 2 weeks.