Spray jelly roll pan, 15 1/2x10 1/2x1 inch, with cooking spray. Cut lengthwise slit in side of each bread slice, cutting to but not through other edge. Spread marmalade inside slit. Place in pan. In large bowl, beat eggs, half-and-half, 1/4 cup sugar, the nutmeg and vanilla until well blended. Pour over bread; turn slices carefully to coat. Cover and refrigerate 8 hours or overnight.