Add coffee, vanilla, and spices to a medium saucepan. Heat over medium heat, not allowing to boil.
In a large protein shaker, mix eggnog and whey protein until smooth. Slowly add all but about 3 tbsp to coffee mixture, stirring constantly. Continue to heat over medium heat until hot, but not boiling.
Add coconut milk to remaining protein mixture and shake vigorously or froth with a milk frother.
Divide latte evenly into 2 serving cups. Gently pour coconut milk froth onto a spoon over top of the lattes (pouring it onto a spoon just over the latte will help it float on top).
Garnish with fresh ground nutmeg before serving, if desired.
I use this milk frother.