Preheat the oven to 350ºF and grease a 9-inch pie plate with nonstick cooking spray or butter. Crush the Oreos in a food processor until finely ground. Pour into a mixing bowl with the butter and use a fork to combine. Press mixture into the bottom and up the sides of the pie plate. Bake for 10 minutes. Allow crust to cool as you prepare the filling.

Combine the remaining cup of eggnog, milk, and sugar in a medium saucepan set over medium heat. Whisk constantly, allowing the sugar to dissolve, and bring the mixture to a simmer.

Once simmering, transfer 1/2 cup of the warm milk mixture to a glass measuring cup. In a slow and steady stream, pour the warm milk into the egg yolk mixture, whisking constantly to ensure the eggs don't scramble. Slowly pour the tempered egg yolk mixture into the saucepan, whisking constantly.

Continue cooking and whisking the mixture over medium heat until it becomes thick and pudding-like, about 1-2 minutes. Once thick, remove saucepan from heat, and whisk in the butter. Add the chopped chocolate, espresso powder and vanilla, whisking until smooth and combined. If you notice bits of cooked egg yolk, pour the warm custard through a fine mesh sieve to remove them.