Preheat oven to 350 degrees. Lightly spray baking sheet with cooking spray.
Spread equal amounts of softened cream cheese on top of 4 bread slices. Next, spread equal amounts of the orange marmalade over the cream cheese and top with remaining bread to make 4 sandwiches.
Whisk together eggs, milk, vanilla, and nutmeg.
Dip toast sandwiches into egg mixture coating on both sides and place on baking sheet.
Sprinkle pecans evenly over top.
Bake 20 minutes. Serve immediately with maple syrup.