Cashew Nut Nog
['1 cup cashews', '1 cup skin-on hazelnuts (not roasted)', '2 wide strips orange zest', '2 cinnamon sticks', '2 star anise pods', '4 whole cloves', '1 13.5 ounce can coconut milk', '2 tablespoons agave syrup (nectar)', '1 teaspoon vanilla extract', '4 large egg whites*', '1/4 cup powdered sugar', '1 tablespoon cornstarch', '1/4 teaspoons cream of tartar', '1 cup dark or spiced rum (optional)', 'Freshly grated nutmeg (for serving)', '2 pieces of cheesecloth']
Combine cashews, hazelnuts, and 4 cups hot water in a blender or a large bowl. Tie up orange zest, cinnamon, star anise, and cloves in a layer of cheesecloth. Lightly crush spices with a wooden spoon to release oils and add to nut mixture. Let sit overnight.
Remove spice bundle; discard. Blend nut mixture 2 minutes. Strain through a fine-mesh sieve lined with a layer of cheesecloth into a large pitcher, squeezing out as much liquid as possible. Whisk coconut milk, agave, and vanilla into nut milk. Cover and chill until cold, at least 3 hours.
Just before serving, beat egg whites in a medium bowl to soft peaks; beat in powdered sugar, cornstarch, and cream of tartar. Combine rum, if using, and nut milk mixture in a punch bowl. Top with meringue and sprinkle with nutmeg.
DO AHEAD: Nut milk mixture can be made 5 days ahead. Keep chilled.
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