Preheat oven to 400º.
Cut a pocket into each chicken breast.
Fold cheese in half and place in each pocket. Do the same with the ham. Sprinkle w/salt & pepper.
Mix the mayonnaise, mustard, salt and pepper in a bowl. Spread onto top & sides of the chicken - not underside.
Sprinkle panko over the chicken, using your other hand to press the breadcrumbs onto the side of chicken. Spray w/cooking spray.
Bake for 25 - 30 minutes, or until golden brown & just cooked through. Rest for 5 minutes before serving with the Dijon cream sauce.
Melt butter over medium heat in a small saucepan. Add flour & cook for 1 1/2 minutes.
Add half the milk & whisk until the flour mixture is blended in.
Add remaining milk, mustard and cheese. Cook for 3 minutes, whisking constantly thickened. It will thicken more as it cools.
Remove from heat, stir through thyme leaves and add salt and pepper to taste. Serve with chicken.