Combine cream cheese, vanilla, chopped pecans and 2 tablespoons sugar. Set aside.
Combine eggs, milk, nutmeg and 4 tablespoons sugar until well blended. Set aside.
Combine crushed cornflakes with coconut and set aside.
Cut down through the top and along one side of each slice of bread. Spread a generous tablespoon of cream cheese filling inside of each pocket. Preheat lightly sprayed electric frying pan to 325°F. Dip bread pockets into egg/milk mixture, then into corn flake/coconut mixture. Coat both sides of each pocket slice. Cook until golden on both sides and each slice is warmed through.
Serve warm with Creamy Caramel Syrup. (Bread may be stuffed, wrapped, and frozen ahead of time.)
Creamy Caramel Syrup
Combine all ingredients in a saucepan. Stir over low heat until smooth. Bring to a rolling boil and maintain for 5 minutes. Continue to stir. Remove from heat and serve warm.