IN A LARGE HEAVY SAUCEPAN OR flame-proof casserole, melt 3 tablespoons of the butter over low heat. Add the onion and cook until softened, but not browned, about 3 minutes. Stir in the sliced fennel. Season with the salt and nutmeg; mix well. Cover and simmer, stirring occasionally, for 10 minutes. Meanwhile, bring the stock to a simmer in another saucepan. After 10 minutes, add the rice to the fennel, stirring to coat each grain with butter. Add 2 cups of the hot stock. Bring to a simmer and cook, uncovered, stirring constantly, until the rice is just tender, adding more stock, 1/2 cup at a time as the rice absorbs the liquid, about 20 minutes. (If you run out of stock before the rice is done, use hot water.) The finished dish should be moist but not soupy. When the rice is tender but still firm, remove from the heat and stir in the pepper, the remaining 3 tablespoons butter and the grated Parmesan cheese. Season with additional salt to taste and serve immediately in warm bowls.