Peel peaches, remove pits, and slice into a heavy saucepan, catching all the juices. Stir in sugar, nutmeg, and cinnamon, and cook over medium heat until bubbly. Continue cooking, stirring occasionally, until the sauce reaches a syrupy consistency, about 10 minutes. Remove from heat.
Meanwhile, cut off and discard the ends of the bolillo rolls. Slice the rolls into 1 1/4-inch-thick slices. Lay each slice of bread on a board, and with a sharp knife held parallel to the board, cut a pocket into each slice, leaving three sides intact. Set aside.
Stir together the mascarpone, confectioners' sugar, and lemon zest until smooth. Scoop this mixture into a small plastic bag. Cut off one corner of the bag, and pipe as much filling into the pocket in each slice of bread as will fit without overflowing.
Whisk together the eggs, milk, and vanilla in a shallow bowl. Melt butter with oil over medium heat in a large nonstick skillet. Dip each stuffed piece of bread into the batter, add to the skillet, and cook until browned on both sides. Serve hot with the warm peach sauce.
Cook's Note If you can't fine Mexican bolillo rolls, use a loaf of French bread instead.