Club sandwiches always include a third piece of bread, so slice the bread thinly or the finished sandwich may be too thick. Adapted from Deborah Madison's Vegetarian Cooking for Everyone cookbook. The club sandwich is said to have originated in England. The Club Sandwich was the favorite of former King Edward VIII of England and his wife, Wallis Simpson. In fact, she took great pride in preparing this sandwich. The most popular theory is that the sandwich first appeared in 1894 at the famous Saratoga Club-House (an exclusive gentlemen only gambling house in upstate Saratoga Springs, New York) where the potato chips was born.