Beat egg in a medium bowl or deep dish, add milk and mix well. Set aside.
Preheat oven to 350F degrees. Line baking tray or cookie sheet with foil. Brush lined tray with oil or spray with cooking spray.
Flatten bread using a rolling pin or drinking glass. To make the process faster, I did mine by sandwiching batches of bread between two plates like I did with my pizza cupcakes.
Place 1 piece of ham on top of the flattened bread, overhanging on the side near you. This way, it will be easier to roll them up and seal them. See 2nd picture above for visuals.
Place 2 strips of cheese and 3 to 4 strips of bell pepper.
Carefully roll the bread. Squeeze it gently while preventing the cheese and bell peppers from popping out from the sides. This is to get rid of the gap inside which will turn into a hole when you bake it later. Dip into egg-milk mixture. Coat with panko then gently squeeze it again to seal the ends. Arrange on the lined tray with ends/seal facing down.
Coat the rolls with oil by spraying with cooking spray or rolling them in the oiled tray. It is very important to coat the panko with oil to avoid it from staying (and tasting) raw.
Bake for 15 minutes. Flip them over and bake for 10 minutes. Flip them again and broil for another 3 minutes. Pat the rolls with spoon to check if outsides are crisp. If not, bake for a few more minutes, watching carefully to prevent them from getting too brown.
Transfer to a plate lined with paper towels and let it cool a bit. When they are cool enough to handle, slice them diagonally or into bite-size pieces. Serve with garlic-mayo dip.
Notes
I suggest to put 3 to 4 strips of bell pepper in each roll. The bell peppers will shrink as they bake, and 2 strips may seem not enough like what I did.Baking times may vary. Just make sure to bake them until golden brown and the outside is crisp.This recipe yields 8 rolls. Serves 4 to 6 when sliced into bite-size pieces.