01 - In a large bowl, whip the heavy cream until stiff peaks form. In a separate bowl, beat together the softened cream cheese, eggnog, powdered sugar, ground nutmeg, and vanilla extract until smooth and creamy. Gently fold the whipped cream into the cream cheese mixture until thoroughly combined and fluffy.
02 - In a shallow dish, combine the cooled espresso and dark rum or bourbon, if using.
03 - Quickly dip each ladyfinger into the espresso mixture, ensuring not to oversoak. Break or cut the dipped ladyfingers to fit the bottom of six small serving cups or glasses. Layer half of the dipped ladyfingers in the cups, followed by half of the prepared eggnog cream mixture. Repeat with another layer of dipped ladyfingers and top with the remaining cream mixture.
04 - Cover the cups and refrigerate for at least 4 hours, or preferably overnight, to allow the flavors to meld and the dessert to set. Before serving, dust the tops generously with unsweetened cocoa powder and a light sprinkle of additional nutmeg.