1. Make the grits: In a heavy 2- to 4-quart pot with a lid, bring 2 cups of water, milk, and salt to a hard boil. Add grits, reduce heat, and stir until they come back to a simmer and starch begins to develop. Cover grits and reduce heat as low as possible. Cook for at least 30 to 40 minutes. Check them occasionally to make sure they don’t scorch on the bottom, but don’t stir too frequently. Add the cheese and cayenne and taste for salt.
2. Make the trout: Combine pecans, cornmeal, and spices in a food processor and pulse until the nuts are coarsely ground. Pour into a shallow baking pan. Pour buttermilk into another shallow baking pan. Clean trout fillets of any small pin bones, but leave skin on. Place them in buttermilk. In a large cast-iron skillet over medium-high heat, heat the oil, about ⅛-inch deep. (Depending on the size of skillet, you might have to sauté the fish in batches). Remove fish from the buttermilk and press into nuts and cornmeal. Then flip fillet, until nicely coated. Repeat with all four pieces.
3. Preheat oven to 250 degrees. Once oil shimmers, lay fillets flesh side down into the hot pan. Cook for 5 minutes, then flip and cook the skin side for about 5 minutes more. Transfer to a cookie sheet and place in a low-temperature oven to hold until you are ready to serve.