Make a slice into the side of each slice of bread to create a little pocket. Stuff the pockets with cheddar cheese and ham, being careful not to overstuff the pockets and tear the bread.

Whisk together the eggs, milk, nutmeg and salt in a big bowl. Place the bread into the bowl and soak on one side for 7 minutes, then flip over and let soak for another 7 minutes.

Set a frying pan greased with butter to medium heat. Place the bread on one side and cook for 3-4 minutes. Flip over and cook for an additional 3-4 minutes, then turn off the heat and place a lid on the frying pan. Steam the bread in the pan for 5 minutes, then serve!