Heat oven to 200°F and place a baking sheet on the middle rack. Whisk eggs, milk, vanilla, nutmeg, and orange zest together in a large bowl.
Spread ½ tablespoon mascarpone on each slice of bread, and top with ½ teaspoon raspberry preserves. Close sandwiches, keeping fillings on the inside.
Heat a large skillet or griddle over medium heat. Dip 2 sandwiches in the milk mixture and let the excess drip off. Melt 1 tablespoon butter in the skillet and swirl the pan to coat the entire surface. Add sandwiches to skillet and cook until golden-brown, 4 to 5 minutes each side. Transfer to the baking sheet in the oven and repeat with remaining sandwiches.
Slice sandwiches on the diagonal, sprinkle with powdered sugar, and serve with a fork and knife.