Preheat oven to 400F. Pierce potatoes several times each with a fork and bake until soft, about 1 hour. Remove from the oven and let cool.
Cut the potatoes in half and scoop the flesh into a medium-sized bowl and mash until smooth. You can also use a potato ricer or food mill and rice. Let cool to room temperature.
Line a large backing sheet with parchment paper. Add flour to the potatoes and mix. Form a well in the middle of the mixture and add yolk, nutmeg and salt. Using a fork, stir until the potato mixture is evenly coated, it will not be completely smooth. Form the dough into a ball and divide into 4 equally-sized pieces.
Roll each piece of dough between your hands and a lightly floured work surface into a 3/4 inch diameter rope. Cut the rope int 3/4-inch pieces and indent each piece with a fork. (The indent is optional, but will help the gnocchi hold the sauce.) Place the pieces on the parchment and repeat with the remaining dough.
Bring a large pot of salted water to a rolling boil and add the gnocchi in batches. You don't want the water to stop boiling. It will sink to the bottom of the pot. Stirring occasionally, let the gnocchi cook until it floats and is cooked through, about 4 minutes. With a slotted spoon, transfer the cooked gnocchi to a bowl and set aside.
In a large skillet, heat the oil over medium-high heat. Add the mushrooms and sautee until browned and most of the moisture has cooked off. Add the kale and continue to cook until it just begins to wilt, about 1 minute. Add milk and goat cheese and stir continuously until well blended. Add gnocchi and stir until coated and warmed through. Add salt and pepper to taste.