In a saucepan, warm nut milk, sweetener, vanilla, cinnamon and nutmeg over medium-low for roughly 5-minutes, stirring occasionally. You can also use a steam wand on an espresso machine to warm and froth ingredients at the same time.
If using an egg yolk: In a separate bowl, whip the egg yolk until frothy. Add a few teaspoons of the warm nut milk to the egg yolk (this will ensure you don't end up with scrambled eggs), then pour the egg mixture into the warm nut milk and continue to heat for a couple minutes.
Froth the milk mixture/eggnog with a blender, immersion stick or other tool, if desired.
Brew espresso then combine the eggnog with the espresso.
Feel free to top with whipped coconut cream and a sprinkling of nutmeg and cinnamon.