Heat oven to 400°F. Generously coat baking sheet with cooking spray. Place waffles on baking sheet.

Spoon egg over waffles, spreading to fill cavities. Bake in 400°F oven until egg is set and waffles are crisp, 10 to 12 minutes.

Top one waffle with cheese. Cover with remaining waffle and press together. Let stand 1 minute to allow cheese to melt.