Prepare the Cookie Dough:

1. Mix the Dry Ingredients: In a medium bowl, whisk together flour, baking powder, salt, cinnamon, and nutmeg. Set aside.
2. Cream Butter and Sugar: In a large bowl, use a mixer to cream softened butter and sugar until light and fluffy, about 2-3 minutes.
3. Incorporate Wet Ingredients: Add the egg, eggnog, and vanilla extract to the butter mixture, mixing until combined.
4. Combine Wet and Dry Ingredients: Gradually add the dry ingredients to the wet mixture, mixing just until a soft dough forms. Cover and chill the dough for at least 30 minutes.

Make the Cinnamon-Sugar Coating:

5. In a small bowl, mix together the sugar and cinnamon for coating.

Shape and Bake the Cookies:

6. Preheat Oven: Preheat the oven to 350°F (175°C). Line baking sheets with parchment paper.
7. Form the Dough Balls: Roll chilled dough into 1-inch balls. Coat each ball in the cinnamon-sugar mixture.
8. Make Thumbprints: Place the balls on the prepared baking sheet and use your thumb or the back of a teaspoon to make a small indentation in the center of each cookie.
9. Bake: Bake for 10-12 minutes, or until the edges are lightly golden. Remove from the oven and allow cookies to cool completely on a wire rack.

Prepare the Eggnog Filling:

10. Heat Ingredients: In a small saucepan, whisk together the heavy cream, egg yolks, sugar, eggnog, and vanilla extract. Heat over medium-low, stirring constantly, until the mixture thickens slightly, about 3-5 minutes. Do not let it boil.
11. Cool Filling: Remove the saucepan from the heat and let the filling cool to room temperature.

Assemble the Cookies:

12. Spoon the cooled eggnog filling into the thumbprint indentations of each cookie. Allow the filling to set for 15-20 minutes before serving.