Pour heavy cream into a saucepan and bring to a boil over medium heat. Reduce heat and simmer until cream is reduced by half, stirring occasionally, about 1 hour. Remove from heat; whisk in Gorgonzola cheese, Parmesan cheese, salt, pepper, and nutmeg until cheeses have melted. Cover to keep warm and set aside.

Season beef with lemon pepper, garlic powder, onion powder, salt, and pepper; set aside to marinate.

Place bacon in a large, deep skillet over medium-high heat. Cook, stirring occasionally, until evenly browned, about 10 minutes. Drain bacon on a paper towel-lined plate.

Preheat an outdoor grill for medium-high heat. Lightly grease the grate with cooking spray.

Cook steaks on the preheated grill until they begin to firm up and are reddish-pink and juicy in the center, 3 to 5 minutes per side. Insert an instant-read thermometer into the center; it should read 130°F (54°C) for medium-rare. Transfer steaks to a plate; tent with foil to rest for 5 to 10 minutes.