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 1 1/4 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 degrees C. Lightly grease eight 150ml 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.