Preheat oven to 400 degrees. Line a baking sheet with foil and set a rack coated nonstick spray.
In a large bowl, mash together egg, cream, and bread until a smooth paste forms. Add beef, pork, onion, allspice, nutmeg, 1/2 teaspoon salt, and 1/4 teaspoon pepper.
Mix well using a strong rubber spatula or your hands (I always wear latex gloves). Or, combine all ingredients in a standing mixer with the paddle attachment and mix until uniformly combined.
Using a strong spatula or your hands (I like to wear latex gloves), mix well. Shape the mixture into 1-inch balls (you should have about 24 total).
To bake the meatballs:
Arrange on rack and bake until browned with crispy edges, about 15 to 20 minutes (an internal thermometer should read 155 degrees for 15 seconds).
To fry the meatballs:
Heat vegetable shortening in a large skillet over medium-high heat. Fry the meatballs in batches until browned on all sides and the meatballs are cooked, about 5 to 7 minutes per batch (an internal thermometer should read 155 degrees for 15 seconds). Add more shortening between batches if the skillet looks dry.
To freeze the meatballs (optional):
Arrange meatballs in a single layer on a baking sheet, not touching. Freeze until solid, about 1 hour, then transfer to a freezer-safe container.
To make the gravy:
In a large skillet, melt butter until the foaming subsides. Stir in flour and cook for one minute.
Add chicken broth, brown sugar, and beef base. Bring to a boil and simmer for 5 minutes until reduced to about 2 cups.
Stir in heavy cream and return to a simmer. Add meatballs, cover and cook until the meatballs are heated through and the gravy has thickened (allow about 10 minutes if the meatballs are frozen). Season to taste with salt and pepper.
Serve with mashed potatoes or egg noodles and cranberries (or lingonberries, if you can find them).
To serve as an appetizer:
Transfer meatballs and sauce to a slow cooker. Keep warm over low heat.
Adapted from Cook's Illustrated January & February 2009 edition (Real Swedish Meatballs) .