Mash blue cheese and mascarpone in a bowl with a fork until smooth. Fill each date cavity with a rounded 1/2 tsp. cheese. Wrap each half with a strip of prosciutto.
Warm oil and 1 tbsp. water in a medium nonstick frying pan over low heat. Add dates and cook, covered, until warmed through and softened, about 3 minutes. Serve warm.
Note: Nutritional analysis is per 2 date halves.
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