I really don't know if this would work but...
Most key lime pies are a custard that uses eggs and milk (usually a sweetened condensed or an evaporated milk) with limes, etc. Using the condensed or evaporated milk means that you don't have to thicken or reduce the custard on the stove top first. You just mix it together and pop it in the oven. The custard gels in the heat.
If you can figure out how to make your custard on the stove top first I would think that you could add the alcohol at that stage and it would cook off the alcohol while leaving the taste and should let it set properly.
Again, this is just a theory and will likely involve a little trial and error before getting it right. Instead of making a whole pie just make small tartlets.
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