Spread a thin layer of mascarpone cheese on 4 of the brioche slices. Take the marmalade and spread over the mascarpone.
Whisk together the milk, egg, sugar, and vanilla and then place in a shallow dish.
Dip each stuffed brioche sandwich into the french toast mixture. Soak each side of the sandwich until saturated.
Heat a non-stick frying pan on medium heat. Melt a nut of butter in the pan. Place two of the stuffed french toast in the pan.
Cook for 3-5 minutes per side, or until golden. Make sure that the heat of the pan is not too hot. The brioche soak up a lot of liquid and it needs time to set on each side, without burning the outside.