Fill bread slices with next 3 ingredients to make 2 sandwiches.
Whisk egg and milk in pie plate until blended. Dip sandwiches, 1 at a time, in egg mixture, then in pretzel crumbs, turning to evenly coat both sides of each sandwich with both ingredients.
Melt 2 tsp. butter in medium skillet on medium heat. Add sandwiches; cook 2 min. or until bottoms are golden brown. Add remaining butter to skillet; turn sandwiches. Cook 2 min. or until bottoms of sandwiches are golden brown and cheeses are melted.