To make the Russian dressing, thoroughly combine mayonnaise, pickles, capers, and ketchup in a small bowl. Set aside.

Assemble sandwiches by evenly spreading dressing on two slices of bread and topping each with half the deli slices, sauerkraut, and cheese. Cover each sandwich with another slice of bread.

In a large skillet, warm a little cooking spray over medium-high heat. Add the two sandwiches, and cook until both sides are golden brown and cheese has melted, about 3-4 minutes per side. Transfer to a cutting board, and slice each sandwich in half.