Chill metal beaters for an electric mixer and a large metal bowl in the freezer for at least 5 minutes. Pour cream into chilled bowl and whip with electric mixer on high speed until cream is soft and fluffy, about 2 minutes. Slowly beat in sugar, whipping cream until it holds stiff peaks. Gradually beat in vanilla, rum, nutmeg; whipping cream to stiff peaks each time before adding next ingredient. Serve immediately.