COMBINE THE CREAM CHEESE with the lemon zest, lemon juice, and sugar in a small bowl. Stir with a fork until well blended. Slice the bread about 1 1/2 inches thick. Using a serrated knife, make a lengthwise slit in each slice, as if cutting them into two thin slices, but leave the slices attached on three sides. WITH A TABLE KNIFE or small spatula, spread about 1 heaping tablespoon of the filling in the pocket of each slice, then press the two halves together over the filling. FOR THE BATTER, stir together the eggs, half-and-half, sugar, vanilla, and nutmeg in a flat, shallow dish. Preheat a lighdy oiled griddle or a large, heavy skillet over medium heat. DIP EACH BREAD SLICE in the batter, turning to coat it well. Carefully remove the slice and let the excess batter drip off. Cook the bread on the heated griddle until nicely browned and crisp, 2 to 3 minutes per side. Repeat with the remaining slices. Serve warm, with maple syrup or your favorite fruit topping.