Heat oven to 350ºF (176ºC) with rack set in middle position. Coat a 9-inch deep dish pie plate with nonstick cooking spray.
In a large skillet over medium heat, cook bacon until crispy; 8–10 minutes. Using a spoon, transfer bacon to a paper towel-lined plate. Discard all but 1 tablespoon bacon drippings.
Return reserved tablespoon drippings to now empty skillet (or use olive oil). Add onion and cook over medium heat until softened and starting to brown, 5–7 minutes; let cool slightly.
For custard, vigorously whisk eggs in a large bowl until light in color and bubbly, about 1 minute. Whisk in milk, salt, cayenne and nutmeg until thoroughly combined.
Stir in bacon, onion and cheeses.
Pour custard into prepared pie plate.
Bake quiche until edges are set and center is slightly jiggly, 50–55 minutes.