Preheat the oven to 350 degrees F (175 degrees C). Grease an oven-proof baking dish.

Bring a large pot of lightly salted water to a boil. Add penne and cook, stirring occasionally, until tender yet firm to the bite, about 11 minutes. Drain and toss pasta with olive oil.

While pasta is cooking, melt butter in a large saucepan over medium heat. Add onion and cook, stirring frequently, until soft and translucent, about 5 minutes. Add tuna and cook for 2 minutes. Pour in heavy cream; season with nutmeg, salt, and pepper. Add penne and toss well. Transfer to the prepared baking dish and cover with Parmesan cheese.

Bake in the preheated oven until the top is golden brown, 15 to 20 minutes.