Hmm. I think it wouldn’t work because the ham would need to be twisted around the bread beforehand. At least that’s what my initial experiments with toilet paper indicate.

EDIT: OK, best I can come up with, you’ll need a custom made bread oven in modular sections forming a twisted torus, like a fusion reactor only it’s a bread oven. Now get a really big ham. Make a hole in it and assemble the bread oven passing through the hole. If you can’t put the ham in the sandwich you need to put the sandwich in the ham. Fill up with dough and start baking. While it’s cooking, carve your ham into a Möbius strip twisted around the oven. Disassemble the oven, cut any excess crust off the bread, give it a twist, a flick of the wrist, and voilà! Möbius ham sandwich!