PLACE jalapeño cheese slices on 2 bread slices; cover with fresh jalapeño peppers, Singles and remaining bread slices.
WHISK egg and milk in pie plate until blended. Dip sandwiches, 1 at a time, in egg mixture, then in pretzel crumbs, turning to evenly coat both sides of sandwich with crumbs.
MELT 2 tsp. butter in medium skillet on medium heat. Add sandwiches; cook 2 min. or until bottoms are golden brown. Add remaining butter to skillet; turn sandwiches. Cook 2 min. or until bottoms are golden brown and cheese is melted.