Dissolve yeast in warm water and let it sit until foamy (5 minutes).
Combine warm milk, sugar, melted butter, salt, nutmeg, 2 cups flour, yeast mixture, and eggs. Gradually add remaining flour to form a soft dough.
Knead dough on a floured surface for 8-10 minutes until smooth. Place in a greased bowl, cover, and let rise in a warm place until doubled (1-1.5 hours).
Beat cream cheese, sugar, and vanilla extract until smooth. Set aside.
Roll out dough into a rectangle, spread with cream cheese filling, and roll tightly from the long edge. Shape into a ring on a greased baking sheet.
Allow cake to rise for an additional 30-45 minutes. Preheat oven to 350°F (175°C).
Bake for 25-30 minutes until golden brown. Cool on a wire rack.
Prepare praline glaze by melting butter and brown sugar in a saucepan, adding milk, boiling, then whisking in powdered sugar, vanilla, and pecans. Drizzle over cooled cake.