It's similar to (but different from) mechanical inertia, which is an object's resistance to change in velocity.
The latter includes the concept of momentum, that an object with nonzero velocity resists changing it's velocity. There is no such thing as thermal momentum, remove the temperature differential and a thermally uniform substance that's changing temperature at 10 degrees per second will stop getting colder instantly. For related reasons, there's no overshoot when you reach equilibrium, either.
I always learned the explanation as: 1. Cool to freezing via evaporation. Because this goes as T^4, the time difference is negligible to reach 0°C. But...hot water loses more volume. 2. Freeze, bit now you need less energy to freeze less material.
I did this at home, and the simple check worked: volume was lower in the frozen hot water.
This explanation might be wrong! But it works out in simple tests and mathematically.
Same effect as seeing your breath in cold weather.
I did it with a cup of boiling water and most of it fell back down as water.
I wintered at the South Pole in 2014, the year the ALS Ice Bucket Challenge was a big thing. One of our crew did it, outside. We discovered a similar effect: when it's even colder out, maybe -80s F: ice water makes what looks like a cloud of steam - in the video (sorry, can't find it quickly) it looked a bit like he was cheating.
I could see if you can disperse it into small enough droplets it would work.