In a medium saucepan heat up the water, salt, nutmeg, sugar and butter. When the mixture gets hot, add in the flour, mixing vigorously to avoid lumps. Cook the mixture over the low heat, mixing continuously until a thin film of flour forms on the bottom of the pan.
Move the mixture into a larger bowl, then add the egg yolk, whole eggs and vanilla extract. Use a hand mixer to fully incorporate everything and get a smooth paste.
Put the mixture into a piping bag fitted with with a star nozzle. To pipe the churros, start by making a small spiral. Keep going round and round until you get a larger spiral about 7cm wide (3-inches). Once you have piped all the churros, place them in the freezer for minimum 1 hour.
In a deep wok or pan, heat up vegetable oil* until it reaches between 175-190°C (350-375°F). Carefully place in the frozen churros, ensuring they don’t touch. Fry for 2-3 minutes on each side or until they’re a golden-brown colour.
Using a spatula, flip them over and fry on the other side. Once cooked, scoop out carefully and let them cool off on a wire rack. This will also ensure the extra oil drips out of the churros. Let the cookies cool down completely.
Melt some white chocolate in the microwave, in small bursts of 15-30 seconds until fully smooth. When the cookies are fully cooled, dip one half into the melted chocolate. Add some sprinkles over the chocolate before it sets.
Cola de Mono Filling
In a medium saucepan, heat up the milk, condensed milk, coffee and all spices.
Separately, in a bowl whip the egg yolks until pale and fluffy. Slowly add in the flour, mixing it well to prevent lumps. If the mixture gets too thick, add 1-2 teaspoon of the heated milk.
Once the milk starts steaming (not boiling), pour it over the eggs, mixing vigorously. When the mixture is fully incorporated, add it back into the saucepan and cook over low heat until it thickens up.
At the end, add the alcohol of choice and butter and mix well to incorporate. Place the creme in a bowl, then cover it with cling film (saran wrap), ensuring the foil adheres to the surface. Let the filling cool fully before using.
Place the filling in a piping bag fitted with a star nozzle. Pipe a spiral of creme on the inside of a cookie, then place another cookie on top, like a sandwich. Serve immediately after filling.
Notes
I recommend using a kitchen scale in grams for more accuracy. The cups used for the conversion are standard US customary cups (1 cup flour = 136g). There are many different types of cups across the globe, which is why I strongly recommend using grams instead.
Oil - use an odourless oil such as sunflower or canola (rapeseed) oil.
White chocolate - can be replaced with candy melts.
Storing - Before filling, store the churro cookies in an airtight container at room temperature for up to 2 days. Once filled, consume immediately or within the day. Do not place the churros in the fridge, as this will make them soften and lose their crunch.