Combine milk, Arborio rice, sugar, and salt in a medium saucepan; bring to a boil, stirring frequently. Reduce heat; simmer, uncovered, for 20 minutes, stirring occasionally.
Place egg in a medium bowl. Gradually stir about one-fourth of hot rice mixture into egg mixture; return egg mixture to pan, stirring constantly. Simmer, uncovered, 20 minutes or until mixture is thick and rice is tender, stirring occasionally. Remove from heat; add liqueur, butter, and vanilla, stirring until butter melts. Combine nuts in a small bowl; sprinkle nuts evenly over pudding.