Coat a 9x13-inch baking dish with non-stick cooking spray. Cut the frozen cinnamon rolls into quarters, and spread them evenly into the bottom of the baking dish.
The frozen rolls may need to sit at room temperature for 30- 40 minutes before you can quarter them with kitchen shears or a sharp knife.
In a medium bowl, combine the eggs, milk, sugar, vanilla, cinnamon, and nutmeg. Whisk and pour over the cinnamon roll pieces. Cover the baking dish with plastic wrap and refrigerate overnight (at least 6-8 hours, no more than 24 hours). Rolls will begin to thaw and rise.
If the custard settles at the bottom of the pan, gently fold the custard back into the rolls before baking.
Preheat oven to 375°F. Remove the plastic wrap and bake for 35-40 minutes or until the rolls are golden brown on top.
If the top is browning before the middle is baked, tent it with foil for the remainder of the baking time.
Remove from oven and frost with the cream cheese frosting from the cinnamon roll package (if desired). You can also top with your favorite syrup.