Melt butter in a large pan over medium high heat. In a large bowl, whisk together, eggs, milk, vanilla and nutmeg; set aside. In a medium bowl, combine sugar and cinnamon; set aside. Working one at a time, use a rolling pin to flatten bread to about 1/4-inch thickness. Spread cream cheese on the bottom of each slice of bread and top with a row of blueberries.

Bring the bottom edge of the bread tightly over the filling, rolling from bottom to top until the top of the bread is reached. Repeat with remaining slices of bread, cream cheese and blueberries. Dip bread rolls into the egg mixture. Add bread rolls to the pan, 3-4 at a time, and cook until evenly golden brown, about 2-3 minutes on each side. Immediately roll the bread rolls in the cinnamon sugar mixture, pressing to coat. Serve immediately.