Spray 9x5-inch loaf pan with cooking spray. Line pan with foil, with ends of foil extending over sides; spray foil with additional cooking spray.
Flatten bread slices with rolling pin to 1/8-inch thickness. Top each with 1 cheese slice and 1 ham or turkey slice. Fold in half, then place, folded sides down, in prepared pan.
Whisk eggs, milk, mayo and mustard until blended; pour over folded sandwiches.
Heat oven to 350°F. Bake Monte Cristo loaf 40 to 45 min. or until knife inserted in center comes out clean. Remove from oven; let stand 10 min. Use foil handles to remove sandwich loaf from pan; place on serving plate. Sprinkle with sugar. Serve with preserves.