Preheat the oven to 375 degrees F.
Place the bread in a small bowl and pour over the milk. Combine the mayonnaise, mustard, Cajun seasoning, egg and lemon zest and juice in a large bowl and whisk together. Add the milk-soaked bread and whisk together again. Fold in the crab and chives.
Form the crab mixture into 12 equal cakes and place on a baking sheet. Bake for 8 to 10 minutes. Serve with lemon wedges.