Preheat the oven to 180°C fan. Spray the ovenproof dish with low-calorie cooking spray.
Cut the hot cross bun into 1cm slices, from top to bottom (you should get around 8 from each bun). Arrange the slices in the bottom of the ovenproof dish.
Beat the eggs into the almond milk. Add the orange zest, nutmeg, and sweetener. Stir until the sweetener has dissolved.
Pour the egg mixture over the hot cross bun slices, and let it stand for 10 minutes — so the hot cross buns can absorb the liquid.
Place on a baking tray, and cook in the centre of the oven for 30 minutes — until the custard has set and the top is golden. Serve!