Heat milk with scraped seeds and pod of vanilla bean over medium-low heat about 15 minutes, to infuse flavour. Remove vanilla pod and let milk cool to room temperature. Whisk sugar, oil and eggs into cooled milk. In a separate bowl, sift together flour, baking powder, nutmeg, salt and cinnamon. Add to milk mixture and blend just until incorporated (do not overmix).
Fill a medium saucepot with enough vegetable oil to come up 2 inches in the pot. Heat to 350°F (or when water spits and bubbles when a drop is added). Drop tablespoonfuls of batter carefully into oil and fry about 5 minutes, turning over halfway through cooking. Remove with a slotted spoon and let drain on paper towels.
To fill with jam, poke a skewer into one end of the fritter and twirl a little to create an opening. Fill a piping bag with stirred jam and insert into fritter opening. Fill with jam and dust with icing sugar to finish. Serve fresh (within 4 hours).
Yield: 2 1/2 to 3 dozen fritters.