Cut a slit lengthwise on one side of peppers, leaving other side intact; remove seeds. Stuff each pepper with about 2 teaspoons sharp Cheddar cheese. Pinch edges to close; set aside.
Combine remaining 2 cups sharp Cheddar cheese, Monterey Jack cheese, sausage, and baking mix.
Pinch off about 2 rounded tablespoons of dough; shape into a 1/4-inch-thick patty. Place a pepper in center of patty, and wrap dough around pepper. Dip in egg; dredge in seasoned coating mix. Place on a lightly greased 15- x 10-inch jelly-roll pan. Repeat with remaining dough and peppers; cover and chill up to 2 hours, if desired.
Bake at 375° for 30 minutes or until golden.
*Whole pepperoncini peppers may be substituted for jalapeño peppers.
Note: For testing purposes only, we used Shake 'N Bake Seasoned Coating Mix for Pork for seasoned coating mix and Bisquick for all-purpose baking mix.