Preheat the oven to 190 ° C (circulating air with bottom heat).
Sear the diced ham, then add the finely diced shallot over medium heat. Cut the zucchini and sweet potato into thin slices, then quarter and add to the pan. Fry everything gently. Season with salt, pepper and nutmeg.
Roll out the puff pastry on a baking tray, distribute the vegetables on the middle third. Separate the rosemary from the stem and spread it on the puff pastry together with the diced feta. Roll up the puff pastry and place it on the seam so that the strudel does not rise. Fold in the ends so that nothing leaks out. Then score at the top in approx. 3 cm intervals and bake the strudel for approx. 20 minutes.