Cut oranges in half and scoop out pulp; reserve orange shells and pulp. Scallop edges of orange shells. Preheat oven to 350°. In large saucepan, combine orange pulp, undrained pineapple, lemon juice and sugars. Stirring frequently, cook over low heat until thickened. Stir in sherry and nutmeg. Spoon orange mixture into shells and sprinkle with chopped walnuts. Bake 20 minutes. Serve at room temperature.
This tart orange cup may be prepared ahead. We garnished the scalloped edges of the oranges with finely minced parsley.