Pour milk and eggnog into a steaming pitcher and heat to between 145 degrees F to 165 degrees F (65 to 70 degrees C) using the steaming wand. Brew the shot of espresso, then add to mug. Pour the steamed milk and eggnog into the mug, using a spoon to hold back the foam. Spoon foam over the top. Sprinkle nutmeg on top of the foam.