In a medium mixing bowl, combine softened cream cheese, powdered sugar, and vanilla extract. Beat with an electric mixer or whisk until smooth and creamy, about 2-3 minutes.

Spread a generous layer of the cream cheese filling on one side of each slice of thick bread. Sandwich the slices together, pressing down lightly.

In a separate bowl, whisk together the eggs, milk, and ground cinnamon until thoroughly combined and slightly frothy, about 1-2 minutes.

Place a non-stick skillet over medium heat and add a tablespoon of butter or oil. Allow to melt and bubble, about 2-3 minutes.

Briefly dip each assembled sandwich into the custard mixture, coating both sides, then carefully place into the preheated skillet. Cook for 2-3 minutes on each side until golden brown and crispy.

Once cooked, remove sandwiches from skillet and let rest on a paper towel-lined plate to absorb excess grease. Dust with powdered sugar and serve warm.