Flatten the Chicken - Thoroughly dry each piece with a paper towel. Place one between two sheets of plastic or inside a large plastic bag and use a meat tenderizer to flatten to a ¼-inch thickness. Repeat with the remaining pieces.
Roll the Chicken - Layer two slices of ham and ¼ cup of Swiss cheese on top of each flattened piece of chicken. Starting at the shorter end, roll tightly, tucking in the sides, to create a cigar shape. Tightly cover each roll in plastic wrap, twisting the sides to secure it. Refrigerate them for 30 minutes or freeze them for 15 minutes to firm up.
Preheat the Oven - Set the oven rack to the middle position. Heat to 450°F (230ºC). Line a large baking sheet with foil and lightly grease it with olive oil, spreading to evenly coat. Set aside.
Set up the Breading Station - In one shallow bowl, mix the flour with 1 teaspoon kosher salt, and ½ teaspoon black pepper. In a second shallow bowl, whisk together the eggs with 1 tablespoon of olive oil. In a third shallow bowl, use your hands to combine panko breadcrumbs, 3 tablespoons olive oil, and thyme.
Bread the Chicken - Unwrap the chicken and season the surface with salt and pepper. Using your hands, dip it in flour, shaking off any excess coating. Next, dip in the egg mixture, coat completely, and drain any excess. Lastly, dip in the breadcrumbs, pressing to coat evenly.
Bake the Chicken - Evenly space the chicken rolls on the prepared sheet pan. Bake until the surface is golden brown and crisp, and the internal temperature reaches 160 to 165ºF (71 to 74ºC) on a meat thermometer, about 25 to 30 minutes. Rest for 5 minutes before serving. Meanwhile, make the Dijon sauce.
Make the Dijon Sauce - In a medium saute pan, melt butter over medium heat. Add garlic and saute for 30 seconds. Add the flour to the pan and whisk to combine. Cook until the roux turns blonde in color, about 1 minute.Gradually add the milk, whisking continuously to break up any clumps of flour. Cook until the sauce is smooth and thickened, about 2 to 3 minutes. Turn off the heat and whisk in the parmesan cheese, dijon mustard, salt, and pepper. Taste and adjust seasonings.
To Serve - Serve the chicken pieces whole or sliced with the sauce on top and bottom or in a bowl on the side.
Notes
Pan-Frying: Heat a 1/2 cup vegetable oil in a large nonstick skillet over medium heat. Cook until golden brown and fully cooked, about 2 to 4 minutes per side. Add more oil as needed.
Using Cornstarch: Combine 1 tablespoon cornstarch with 2 tablespoons water. Whisk into hot milk, stir, and cook until thickened, about 30 to 60 seconds.
Storing: Refrigerate in an airtight container for up to 5 days. Freeze for up to 3 months; defrost before using.
Reheating: Heat inside a 350ºF (177ºC) oven until hot, about 10 to 15 minutes. Alternatively, microwave on high setting in 30-second intervals until hot. If desired, broil in the oven for a few minutes for a crispy texture.