Melt butter in a large saucepan over medium-high heat. Saute sweet onion in melted butter until soft and translucent, 5 to 7 minutes; add rice and continue to cook, stirring frequently, until fragrant, about 2 minutes more.
Pour Sauvignon Blanc over the rice mixture; cook, stirring frequently, until the rice has absorbed the wine, 5 to 7 minutes.
Stir 1 cup chicken broth into the rice mixture; cook, stirring frequently, until the broth is absorbed, 5 to 7 minutes. Continue with remaining broth, 1 cup at a time.
Remove saucepan from heat to add pumpkin puree, Gruyere cheese, Parmesan cheese, nutmeg, and cayenne pepper into the rice mixture, stirring until the cheese is melted and the mixture is smooth.
