In a small bowl, dissolve yeast in warm milk. In a large bowl, combine sugar, butter, egg yolk, vanilla, salt, nutmeg, yeast mixture and 1 cup flour; beat on medium speed 2 minutes. Stir in enough remaining flour to form a soft dough (dough will be sticky).
Turn onto a floured surface; knead until smooth and elastic, about 6-8 minutes. Place in a greased bowl, turning once to grease the top. Cover with plastic wrap and let rise in a warm place until doubled, about 1 hour.
In a 10-inch cast iron or other ovenproof skillet, cook bacon over medium-low heat until crisp. Remove with a slotted spoon; drain on paper towels. Discard drippings, reserving 3 tablespoons.
In the same skillet, combine brown sugar, syrup, cinnamon, nutmeg and 2 tablespoons of reserved bacon drippings; cook and stir until blended. Cool to room temperature. Wipe out skillet; grease with remaining bacon drippings.
Punch dough down. Roll into an 18×12-in. rectangle. Sprinkle brown sugar mixture and bacon to within 1/2 in. of edges. Roll up jelly-roll style, starting with a short side; pinch seams to seal. Cut into 12 rolls.
Place rolls, cut side down, in prepared skillet. Cover and let rise in a warm place until doubled, about 45 minutes. Preheat oven to 400°. Bake on a lower oven rack, until golden brown, 18-20 minutes. Cool 20 minutes.
In a small bowl, beat frosting ingredients until smooth. Spread over warm rolls. Serve warm.
