The list break is caused by the fact that note is a standalone element and not a child of the second element with a number. To prevent list breaks, run the note directive in the same indent (in this case, 3 spaces) as the text of the list item of the numbered parent numbered list. So instead of your reStructuredText sample, try the following:
Fixed list example ------------------ #. First do spam #. Then do ``eggs`` .. note:: Nobody expects the Spanish Inquisistion #. Then do spam and ``eggs``.
This is one of those reStructuredText things that are not easy to detect, and are especially well documented; see this question on nested lists for a closely related issue .
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