Melt white chocolate in a glass bowl according to package directions. Add powdered sugar, butter, and eggnog; stir gently until mixture is smooth. Add rum and nutmeg, stirring just until blended. Cover and freeze at least 2 hours.
Let truffle mixture stand at room temperature 1 to 2 minutes to soften, if necessary. Using 2 small spoons, shape mixture into 1" balls. Quickly roll in pecans. Place on a wax paper-lined jellyroll pan; cover and freeze until firm.
Melt candy coating according to package directions. Remove truffles from freezer; reshape into balls, if necessary. Using two forks, quickly dip each truffle into melted coating. Place on wax paper to harden. Store truffles in freezer up to one week.