Heat the olive oil in a large skillet over moderate heat, and cook the onion and shallot for about 5 minutes, until translucent but not brown. Add the lettuces and stir until the volume is reduced. Add the fennel seeds, salt, pepper, and nutmeg, and cover partially. Cook for about 10 minutes, stirring occasionally, until the lettuce it completely limp. Continue to cook uncovered, stirring frequently, until the liquid has evaporated. Serves 4 to 6.