Flatten bread slightly with a rolling pin. Place melted butter in a shallow bowl. Line a small baking sheet with parchment paper.

Stir cream cheese, blue cheese, and egg together in a bowl until well blended and creamy; spread a thin layer over each bread slice.

Roll one asparagus spear inside each and fasten with a toothpick. Roll each asparagus wrap in melted butter to coat, then place onto the prepared baking sheet.

Freeze asparagus wraps until somewhat firm and butter has hardened, about 1 hour.

Remove from the freezer and discard toothpicks. Cut each wrap in half crosswise. Transfer to a resealable plastic bag and freeze until ready to use.

Preheat the oven to 400 degrees F (205 degrees C). Arrange frozen asparagus wraps on an ungreased baking sheet.

Bake in the preheated oven, checking occasionally and turning if necessary to prevent burning, until lightly browned, about 25 minutes.