Mascarpone Stuffed French Toast with Peaches

INGREDIENTS

• 8 fresh peaches
• 1/2 cup sugar
• 4 pinches ground nutmeg
• 1/2 teaspoon ground cinnamon
• 4 Mexican bolillo rolls
• 1 cup mascarpone cheese
• 6 tablespoons confectioners' sugar
• 1 lemon, zested
• 6 eggs
• 3/4 cup milk
• 1/2 teaspoon vanilla extract
• 2 teaspoons butter, or as needed
• 2 teaspoons vegetable oil, or as needed