Preheat oven to 350 degrees F (175 degrees C). Grease a 9 inch pie plate.Advertisement
Cook bacon in a skillet over medium heat until the grease has rendered out and the bacon has begun to brown. Stir in onion, and cook until softened and translucent, about 5 minutes; set aside. Meanwhile, stir together the softened butter and mustard in a small bowl until smooth. Spread this mixture on both sides of the bread, and set aside. Whisk together the eggs, milk, Worcestershire sauce, nutmeg, and sherry in a bowl.
Line the bottom and sides of the pie plate with 3 slices of buttered bread. Spread half of the bacon and onion mixture evenly onto the bread. Add another layer of bread, then the remaining onion mixture. Finish with the remaining 3 slices of bread. Pour the egg mixture over the pudding, then sprinkle with Cheddar cheese.
Bake in preheated oven until the center has firmed and the cheese is bubbly and beginning to brown, about 20 minutes.