Preheat oven to 350 degrees.
In a medium bowl, whisk the sauce ingredients together. Set aside.
Carefully butterfly the chicken breasts and open it like a book.
Brush or spoon the inside of each butterflied chicken breast with the prepared horseradish mayonnaise sauce, reserving some sauce for topping.
Season the inside of each chicken breast with salt and pepper.
Divide and place the ham slices and some of the Swiss cheese on half of each butterflied chicken breast, making sure to reserve cheese slices for topping the cordon bleu.
Fold the empty half of the chicken breast up and over the ham and cheese stuffed half. Use kitchen twine or toothpicks to close the cordon blue to keep the filling from falling out in the oven.
Spoon or brush the remaining horseradish mayo sauce over each chicken cordon bleu and place the chicken breasts onto a baking sheet.
Bake in a preheated oven for 40-45 minutes, or until the chicken juices run clear, or the temperature of the chicken is 160-degrees using a meat thermometer.
Remove the chicken cordon bleu from the oven and top each breast with the remaining Swiss cheese.
Return the chicken cordon bleu to the oven for an additional 7-10 minutes to brown and melt the cheese.
Remove the chicken from the oven and allow to cool for 5 minutes.
When ready to serve, remove the toothpicks or kitchen twine.
Tools and equipment;
baking sheet, chef's knife or carving knife, medium bowl, whisk, spoons, kitchen twine or toothpicks.