Special equipment: Milk frother or Immersion blender
In a nonstick saucepan combine 2 cups of the milk, the orange zest, and cinnamon. Heat over medium-high heat until just below a boil. Remove from the heat and set aside for 30 minutes to steep. Refrigerate the remaining cup of milk.
Reheat the milk mixture to a simmer over medium heat. Meanwhile, in a medium bowl whisk together the eggs and sugar. Gradually pour half the hot milk into the egg mixture while whisking constantly. Pour the hot egg mixture back into the milk and cook the custard over low heat, stirring constantly until thickened, about 4 minutes. Don't let the custard boil. Strain custard into a bowl. Discard the cinnamon and orange zest. Add the vanilla to the custard and set aside to cool to room temperature, then refrigerate until cold.
When ready to serve, foam the reserved cold milk with a milk frother or immersion blender, and fold into the custard. Serve eggnog in cups dusted with cinnamon.
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