Preheat oven to 350 degrees.
Spray 2 (12 well) madeleine pans with baking spray. Sprinkle with cinnamon sugar.
In a small bowl, combine flour, nutmeg and cinnamon, whisking well.
In a large medium bowl, combine eggs, sugar and vanilla. Beat a high speed with a mixer until light and fluffy, approximately 5 minutes. Gradually add flour mixture to egg mixture, beating at medium speed until well blended.
Spoon a heaping tablespoon batter into each well of prepared pans, Let batter sit for 5 minutes.
Bake until light golden brown, 15-20 minutes. Remove madeleines from pans, and let cool completely on wire racks. Dust very light with confectioners sugar, if desired.
Store in an airtight container. May be frozen.