Heat the olive oil in a large skillet over medium heat. Add the onion, and bell pepper. Cook, stirring often, until softened, 6 to 8 minutes.
Add the garlic, salt, oregano, chili powder, and nutmeg. Cook until fragrant, sitting occasionally, about 1 minute.
Add the tomatoes and cook for 1 minute, stirring occasionally.
Add the pumpkin purée and stir to combine. Simmer for 5 minutes, then remove it from the heat.
Carefully transfer the mixture to a blender. Add butter, balsamic vinegar, and freshly ground black pepper. Blend until smooth and creamy.