Heat milk, sugar, and vanilla bean and seeds in a medium saucepan over medium-high heat, whisking until sugar has dissolved. Whisk yolks in a large bowl. Pour hot milk mixture into yolks in a slow, steady stream, whisking.
Return milk-yolk mixture to pan, and cook over medium-low heat, whisking often, until thick enough to coat the back of a spoon, about 20 minutes (do not let simmer). Pour through a fine sieve into a bowl; discard bean. Whisk in cream, bourbon, and rum. Let cool completely. Cover with plastic wrap, and refrigerate until cold, about 1 hour (up to 1 day). Serve sprinkled with nutmeg.