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PdfPrep oven and pan: Heat the oven to 425°F with a rack in the middle. Line a rimmed sheet pan with parchment and brush it generously with about three quarters of the 4 tablespoons vegan butter or neutral oil, melted.
Dry the bread: If the challah is fresh, dry the 8 thick slices day-old challah (about 1 inch) on a rack in the oven for about 5 minutes while it preheats. Day-old bread can skip this.
Make the custard: Whisk 0.3 cups plain unsweetened vegan yogurt with a splash of the 1.1 cups unsweetened plain oat milk until smooth, then whisk in the rest of the oat milk along with 4 large eggs, 2 tablespoons sugar, 1 teaspoons vanilla extract, 0.5 teaspoons ground cinnamon, 0.3 teaspoons kosher salt, and 1 pinch freshly grated nutmeg until no streaks of egg remain.
Soak: Soak two slices at a time, about 20–30 seconds per side, until saturated but still holding together. Let the excess drip off and arrange on the pan with space between slices.
Bake first side: Bake until the bottoms are golden, 10–12 minutes.
Flip and finish: Brush the tops with the remaining melted fat, flip, and bake another 5–8 minutes until the second side is golden and the centers spring back when pressed. Check early, since oat milk browns quickly.