Melt the butter in a large frying pan over moderate heat. When it begins to foam, add the sugar and nutmeg, and heat until the sugar has melted. Add the pineapple and cook, tossing often, for 4 minutes or until the pineapple is warmed through.
Remove the pan from the heat, sprinkle the rum and Grand Marnier over the pineapple, and ignite the alcohol with a long match. Return the pan to the heat and shake until all the alcohol burns off.
Serve the pineapple slices and sauce with the frozen yoghurt.