Preheat oven to 350. Lightly oil a large nonstick shallow baking pan.
Cut the eggplant crosswise into 8 equal slices. Combine egg, milk and cornmeal in a shallow bowl. Dip slices first in flour, then in batter, stirring batter after each dip.
Arrange eggplant slices on prepared baking pan. Bake 45-50 minutes or until eggplant is tender. Top with cheese and spoon some of the sauce across each slice. Bake about 10 minutes or until cheese is lightly melted.