Roast the eggplant slices with olive oil and nutmeg until soft and lightly golden. Let them cool completely so they don’t release excess moisture into the filling.
Bring a large pot of salted water to a boil and cook the shells until just al dente. Drain them carefully and allow them to cool so they don’t tear during stuffing.
In a large bowl, combine the roasted eggplant, olives, apple, red onion, celery, pimiento, capers, pesto, lemon juice, mayonnaise, and herbs. Mix gently until everything is evenly combined and well balanced.
Spoon the filling into each shell, packing it lightly so the shells hold their shape. Avoid overfilling to prevent tearing.
Place the stuffed shells side by side in a baking dish. Bake until heated through and slightly golden on top.
Remove from the oven and sprinkle with fresh dill. Let the dish rest for a few minutes before serving so the flavors settle.