In a medium saucepan, combine milk and cinnamon and heat on low for a few minutes to warm slightly.Meanwhile, beat egg yolks and sugar together in a bowl until sugar is mixed in.Pour egg mixture into the saucepan with the warmed milk.Cook over medium-low heat for 5-10 minutes until thick, stirring constantly. (If you have a cooking thermometer, make sure it reaches 160°F. Do not boil.)Remove from heat and let cool slightly. Add in cream, vanilla extract and nutmeg, and whisk to combine. Refrigerate for at least a couple hours or overnight until chilled. Serve cold.