Stir together marshmallow fluff, peanut butter chips, and grape jelly.
Cut 4 1 1/2-inch thick slices from a loaf of challah bread. Cut a 2- to 3-inch-wide slit into the bottom of each slice to create a deep pocket. Transfer the filling to a resealable plastic bag and snip a corner. Pipe about 2 heaping tablespoons of filling into each pocket. Alternatively, scoop 2 heaping tablespoons of filling into each pocket using a spoon.
Whisk eggs, half and half, sugar, vanilla, cinnamon, nutmeg, and a pinch of salt into a shallow bowl.
Preheat the oven to 250 degrees. Heat a large, nonstick skillet over medium heat. Dip a stuffed bread slice in the custard, about 20 seconds per side; let the excess drip off and transfer to the preheated skillet.
Cook until browned, 4 to 5 minutes per side. Transfer to a baking sheet and keep warm in the oven. Wipe out the skillet and repeat with the remaining bread.