Preparation
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.