Split bread; hollow out each half with a fork, leaving a 1/2 inch thick shell.
Spread mayonnaise over hollows in loaf; sprinkle parsley over mayonnaise.
Blend cream cheese, celery, cheddar cheese, onion, salt and Worchestershire Sauce in a medium-sized bowl; spoon into bread halves, packing down well with back of spoon and leaving a small hollow down center.
Roll pickle inside a double-thick slice of ham. Place ham rolls, end to end, in center of bottom half of loaf; cover with remaining half of bread. Wrap loaf tightly in plastic wrap; chill several hours in refrigerator