Cut bread in half lengthwise. Combine mayonnaise, mustard, onion and horseradish in small bowl; mix well. Spread mixture on both halves of bread. Layer ham, turkey, tomato, cheese and watercress on bottom half of bread. Cover with top half; press down firmly. Cut loaf crosswise into 1-1/2-inch pieces. Thread two mini sandwiches through crusts onto metal skewer. Repeat with remaining sandwiches.
Place sandwiches on well-oiled grid. Grill over medium-low coals about 5 minutes or until cheese is melted and bread is toasted, turning once. Serve warm.