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Step 1
Beat egg yolks with sugar to fully combine.
Step 2
In a separate bowl, beat egg whites until frothy. Add 2/3 of the egg whites to the yolk/sugar mixture. Stir to combine.
Step 3
Very slowly drizzle in the rye and rum into the egg/sugar mixture stirring gently as you pour.
Step 4
Slowly pour in milk and stir to combine.
Step 5
Stir in remaining 1/3 egg whites; stir to combine. Sprinkle with a bit of nutmeg when serving.
Step 6
Refrigerate in a sealed container until serving and/or for storage.