In a small bowl, sprinkle gelatin over eggnog and allow to soak for 5 minutes.
Transfer bowl to microwave, heat in 10 second increments until gelatin dissolves into the eggnog. Set aside.
In a large bowl (or the bowl of a stand mixer set with a whisk attachment), whip egg whites until soft peaks form.
With the mixer on high, slowly add the sugar until it’s all incorporated. Let the mixer keep whisking until stiff peaks form.
Carefully fold the gelatin mixture into the whipped egg whites, set aside.
In a separate bowl, combine heavy cream, eggnog, rum extract, and nutmeg.
Whip eggnog mixture until stiff peaks form, then carefully fold in to the egg white and gelatin mixture, stirring until combined.
Pour into 4 serving glasses, chill until set, about 2 hours.