1. Preheat oven to 375 degree F. Grease a cookie sheet. Set aside. For pastry, bring the water, milk, butter, salt, and nutmeg to a boil in a large saucepan, stirring until butter melts. Remove from heat and stir in the flour with a wooden spoon. Add 2 of the eggs, 1 at a time, stirring vigorously with the spoon until a stiff batter is formed. Spoon batter into a pastry bag fitted with a 1/2-inch plain tip.
2. Pipe twenty-four 1-inch puffs (or spoon batter with a rounded measuring teaspoon) 1 inch apart onto the prepared cookie sheet. Lightly beat the remaining egg and brush over tops of puffs. Bake for 20 to 25 minutes or until golden brown. Transfer to a wire rack and cool. (Can be made ahead. Cover and freeze up to 2 weeks. Thaw at room temperature 30 minutes.) Slice puffs in half horizontally with a serrated knife. Remove any soft dough from centers.
3. For filling, beat the cream cheese, goat cheese, and milk in a medium bowl until smooth. Add the parsley, dill, and pepper and mix well. Pipe filling with a pastry bag, or spread a scant tablespoon mixture, in bottom half of each puff. Replace tops. (Can be made ahead. Cover and freeze in an airtight container up to 2 weeks. Bake in a preheated 375 degree F oven 10 minutes.) Garnish with dill, if desired. Makes 2 dozen puffs.