In a double boiler, combine the egg yolks and heavy whipping cream . Stirring constantly, warm over lightly simmering water until the mixture reaches a 160°F (71°C). Slowly drip in the coconut oil to emulsify. The mix should be smooth and creamy. It should be able to coat the back of a spoon.
Add the mix to a blender with the cream of coconut, unsweetened coconut milk, rum, water, spices (or use 2 tablespoons pumpkin pie spice), and vanilla. Blend until smooth. Taste and sweeten to your liking using your preferred keto-friendly sweetener. Pour into glass bottles and chill.