Preheat oven to 400°F with a rack in the center.
Place crust (in foil pie plate) onto a rimmed baking sheet and defrost on countertop for 10 minutes.
Prick crust all over the bottom and sides with a fork. (See note.)
Bake crust for 10 minutes, then let cool for 10 minutes. (If directions for “blind baking” on your crust’s package vary substantially, you can follow those, but this method should work for most frozen crusts.)
Reduce oven temperature to 325°F.
While crust bakes, set a medium-sized frying pan over medium heat. Add bacon and cook, stirring frequently, until browned and crisped to your liking.
Remove bacon from pan and drain on paper towels.
Pour off all but about one tablespoon bacon fat from pan and replace pan over medium heat.
Add onion and cook, stirring occasionally, until softened, about five minutes.
In a medium mixing bowl, beat eggs well with a fork.
Add cream, milk, salt, pepper, nutmeg, and cayenne, and mix until well-combined.
Gently spread onion, bacon, and cheese evenly over bottom of crust.
Open oven and pull out rack enough to set the partially filled crust (still on rimmed baking sheet) onto the rack.
Carefully pour the egg mixture into the crust. It will be very full. Gently slide rack back into place.
Bake until filling is just set and still ever so slightly jiggly (but not sloshy) in the center, 45-60 minutes. The center will firm up as it cools, and pulling the quiche out at this stage will prevent it from getting tough.
Let cool for at least 10 minutes before serving, preferably longer. Quiche is even better the next day.