Make the vanilla syrup: Combine 1 cup water, the sugar and vanilla bean in a small saucepan. Bring to a simmer over low heat, stirring until the sugar dissolves. Remove from the heat and let cool, then remove the vanilla bean.
Make the cocktail: Combine 1 ounce vanilla syrup, the rum, bourbon and heavy cream in a cocktail shaker with ice. Shake until frothy.
Strain the drink into a coupe glass. Sprinkle with nutmeg.
