Cut a slit in each bread slice to form a pocket. Spread 1 teaspoon honey mustard into each bread pocket. Divide ham and cheese evenly among bread pockets.
Combine milk and egg whites in a shallow bowl, stirring with a whisk. Dip sandwiches, 1 at a time, in milk mixture, turning to coat.
Heat a large nonstick skillet coated with cooking spray over medium-high heat. Add 2 sandwiches; cook 3 minutes on each side or until golden brown. Repeat procedure with remaining sandwiches.