Slanting knife at an angle, cut a 3- x 1 1/2-inch oval piece out of top of loaf (to make a hollow loaf). Set top aside.
Spread mayonnaise in cut surface of loaf. Layer cheese, pepperoni, and vegetables in loaf; top with reserved top, pressing firmly to pack. Wrap tightly in heavyduty plastic wrap, and chill at least 4 hours. Cut loaf crosswise into 8 pieces.