Make sauce: 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.

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

Meanwhile, 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. An instant-read thermometer inserted into the center should read 130 degrees F (54 degrees C) for medium-rare. Transfer steaks to a plate; tent with foil to rest for 5 to 10 minutes.

Serve steaks with Gorgonzola sauce and top with bacon and green onion.