In a large soup bowl or mixing bowl, whisk together the egg yolks.

Add the coconut milk, sugar-free sweetener, and nutmeg to a saucepan and heat, covered just until to starts to bubble. Remove from the heat, stir well, and allow it to cool for 5 minutes.

Add a small amount of the coconut milk to the egg yolk mixture and whisk thoroughly. Slowly add more of the coconut milk, whisking constantly. Transfer egg yolk mixture back into the saucepan with the rest of the coconut milk and heat on the stovetop until it reaches 160 to 170 degrees F. Remove from heat and add the vanilla extract and sea salt.

Allow eggnog to cool slightly before transferring to a large jar or container and refrigerating until chilled.

Serve eggnog cold with a splash of brandy and/or dairy-free coconut milk whipped cream if desired.