Wash spinach and coarsely chop leaves. Place in a saucepan with butter, pepper and shallots. Cover and bring to boil, reduce heat and cook until spinach is tender. Drain well then chop finely. Melt extra butter in a pan, stir in flour and nutmeg and cook, stirring for 1 minute. Add milk and stir until sauce boils and thickens. Remove from heat and stir in chopped spinach and chopped feta cheese. Allow to cool.
Take out one pastry sheet at a time as party dries out very quickly cut each sheet into 8cm wide strips and brush each strip with oil. One strip makes a triangle. Put a teaspoonful of filling on the end of each strip. Take corner of pastry and fold over to form a triangle. Lift first triangle up and over to form a second triangle. Continue folding over and over to the end of pastry strip. Trim surplus if necessary. Repeat the process. Spray a baking tray with canola spray and place triangles on it. Spray with canola. Bake in a hot oven for 10-15 minutes or until golden brown.