Preheat the oven to 400°F (200°C) and set a rack in the middle position. Remove the pie crust from freezer and thaw until just soft enough to easily prick with a fork, about 10 minutes. Prick the bottom and sides all over with a fork. Place the crust on a baking sheet to make it easy to move in and out of the oven. Bake until lightly golden, 10 to 15 minutes. If it puffs up while cooking, gently prick it with a fork to deflate. Set aside and reduce the oven temperature to 325°F (170°C).

In a medium nonstick sauté pan over medium heat, cook the bacon, stirring occasionally, until crisp, about 10 minutes. Use a slotted spoon to transfer the bacon to a paper towel-lined plate to drain. Pour off all but one tablespoon of fat from the pan. Add the shallots and cook over medium-low heat until soft and translucent, 3 to 4 minutes. Remove the pan from the heat and set aside.

In a medium bowl, whisk the eggs. Add the heavy cream, salt, cayenne pepper, and nutmeg; whisk until evenly combined.

Spread the shallots evenly over the bottom of the cooked crust. Top with half of the bacon, all of the Gruyère, and then the remaining bacon. Pour the egg/cream mixture over top.

Slide the quiche (still on the baking sheet) into the oven and bake at 325°F for 45 to 50 minutes, until the custard is set and lightly golden. Serve hot or warm.