In a mixing bowl, beat cream cheese and
1 teaspoon vanilla until fluffy.
Stir in nuts; set aside.
Cut bread into 1 1/2-inch slices;
cut a pocket in the top of each slice.
Fill each pocket with about 2 tablespoons of cream cheese mixture.
In another bowl, beat eggs, cream, nutmeg, and remaining vanilla.
Dip both sides of bread into egg mixture,
being careful not to squeeze out the filling.
Cook on a lightly greased griddle until golden brown on both sides.
Place on an ungreased baking sheet;
bake at 300F for 20 minutes.
Meanwhile, combine preserves and orange juice
in a small saucepan; heat through.
Drizzle over hot French toast.