Add the milk to a medium bowl. In another medium bowl, whisk together the yolks, sugar, and ¼ teaspoon of the salt. Add the cream to a medium saucepan and bring to a simmer over medium-high heat.
Whisking continuously, add the hot cream mixture to the yolk mixture a little at a time. Continue whisking until well-combined. Return the mixture to the saucepan and cook over medium-low heat, stirring constantly, until it is just thick enough to coat the back of a wooden spoon, 3 to 4 minutes. (If you can draw a line through the custard on the back of the spoon and it holds its shape, then the mixture is ready.)
Pour the custard mixture through a fine mesh sieve into the bowl of milk. Discard any solids. Add the rum. Cover with plastic wrap and set in the refrigerator to chill until very cold, at least 12 hours. Place an empty metal loaf pan in the freezer to chill.
Spray a baking sheet with the cooking spray. Add 2 tablespoons of water to a small saucepan. Add the granulated sugar and a pinch of salt. Cook, swirling the pan occasionally, until the sugar is deep golden brown, 4 to 5 minutes. Add the pecans and toss them to coat. Transfer pecans to the prepared pan and let them stand until completely cool. When cool and firm, transfer pecans to a cutting board and chop coarsely.
Pour the chilled custard into an ice cream maker and process according to the manufacturer’s instructions. Add about 1 cup of the pecan praline in the last few minutes of churning. Transfer the ice cream to the prepared loaf pan, wrap well, and freeze until firm, at least 6 hours. Serve the ice cream with the remaining pecan praline.