Place the rice in a saucepan with the milk, then stir in the honey and add the vanilla bean. Bring gently to the boil, then reduce the heat and cover. Simmer for 1 to 1¼ hours, stirring occasionally to prevent sticking, until the rice is soft and the mixture has thickened but is still wet.
Preheat the oven to 200°C. Lightly grease eight 150 ml ramekins.
Remove the vanilla bean from the rice. Peel the bananas and slice thinly, then fold into the rice with the lemon zest.
In a clean, dry bowl, whisk the egg whites until soft peaks form. Fold into the rice mixture, then spoon into the ramekins and sprinkle with nutmeg.
Place the ramekins on a baking tray and bake for about 10 minutes or until golden brown and well risen. Serve warm.