Preheat the oven to 400°F (200°C).
Wash and dry the pears. Cut them in half lengthwise, leaving the skins on. Scoop out the cores and seeds with a melon baller or teaspoon.
Brush the cut surfaces with the olive oil. Arrange the halves cut side down in an oven-safe baking dish.
Roast for about 15 minutes. Carefully lift a half with a spatula to check the browning and pierce the thickest part with a small knife. If the flesh is still firm, continue roasting until the knife enters with little resistance.
Flip the pears cut side up. Divide the blue cheese between the cavities and add black pepper and the optional nutmeg.
Return to the oven for 8 to 10 minutes, or until the cheese softens and the pears are tender. Serve warm, allowing one pear half per person.