Combine pudding mix, egg nog, milk, and nutmeg in a saucepan.
Cook and stir over medium heat until mixture comes to a FULL BUBBLING boil.
Remove from heat; add rum and cool 5 minutes, stirring twice.
Pour into pie shell. Cover surface of filling with plastic wrap.
Chill at least 3 hours. Garnish with whipped topping and ground nutmeg.