Line 15x10x1-inch pan with foil. Lightly grease foil; set aside. Melt butter in large saucepan on low heat. Add marshmallows; cook until melted, stirring constantly. Remove from heat. Stir in cereal. Press firmly into prepared pan; cool completely.
Remove formed cereal mixture from pan by turning pan upside down on cutting board. Remove pan; peel off foil. Cut in half lengthwise. Spread one half with peanut butter; spread other half with jam. Stack halves, peanut butter and jelly sides together, to form sandwich.
Cut into 36 squares to serve. Store in tightly covered container at room temperature.