Gather all ingredients.
Prepare the Cinnamon Milk: combine milk, sugar, and cinnamon in a jar; shake until sugar has dissolved, about 1 minute. Add rum, if using, and shake once more to combine. Set aside.
Prepare the Banana Mascarpone: combine banana and sugar in the bowl of a stand mixer fitted with a whisk attachment. Beat on medium-high speed until smooth, about 1 minute. Add cream and beat on high speed until stiff peaks form, about 2 minutes. Add mascarpone and vanilla extract; beat on medium speed until soft and billowy, about 20 seconds. Cover and refrigerate until ready to use.
When ready to assemble, working with 1 ladyfinger at a time, dip half of the ladyfingers into the spiced milk, letting it sit in milk about 2 seconds total. Transfer to an 8-x8-inch baking dish and arrange ladyfingers in a single layer, trimming ladyfingers as needed to fit neatly.
Top ladyfingers with 2 of the sliced bananas in an even layer.
Top bananas with half of the banana mascarpone (about a scant 2 cups), and, using a flexible or offset spatula, spread into an even layer. Repeat with remaining ladyfingers, 2 of the sliced bananas, and banana mascarpone.
Stir together cinnamon and nutmeg in a small bowl; spoon into a fine mesh sieve. Dust top with cinnamon mixture. Loosely cover with plastic wrap and refrigerate for at least 8 hours or up to 3 days. When ready to serve, top with remaining sliced banana. Cut into squares and serve.