In a heavy saucepan combine the milk, rice, sugar, nutmeg, lemon zest and salt. Bring to a boil, stirring occasionally.
Reduce heat to low and simmer , uncovered, until rice is tender and mixture begins to thicken, about 20 - 25 minutes, skimming any foam that may come to the surface. Stir in the egg and cook 2 minutes longer.
Remove from heat and stir in bourbon and vanilla extract. Chill before serving.
Sprinkle with Cinnamon Sugar before serving.
CINNAMON SUGAR: Combine cinnamon and sugar and store in a tightly covered bowl.