Cut off the crusts from the bread. Pour over the milk and leave to soak the bread. Cut the mozzarella into slices. Season the egg with salt, pepper and nutmeg. Beat with a fork.
Gently transfer one slice of bread to a portion form. Arrange the mozzarella so that it completely covers the bread and sprinkle with the beaten egg. Cover with a second slice of bread. Drizzle with oil.
Preheat the oven. Bake for 15 minutes at 200 degrees. Serve hot.