You can use pecans or walnuts.. Tastes great if served warm. Kentucky's signature dessert is by far Derby pie, a chocolate nut treat. The original pie is made by Kerns kitchen and was developed by the manager of The Melrose Inn of Prospect Kentucky. There are many variations of the nut pie, and this one is special because it adds bourbon, a Kentucky favorite. It's always a Kentucky tradition to serve a chocolate nut pie during the Christmas season. We would always look forward to someone bringing this special dessert.