Preheat the broiler to high. Set a rack about 6 - 8 inches from the broiler. Line a baking sheet with foil.
Lay the jalapenos on the foil-lined baking sheet. Broil for 5 minutes, or until the tops are blistered and there is some charring. Turn the peppers over and broil for another 5 minutes. Continue this process until the peppers are blistered with some charred spots on all sides.
Remove the baking sheet from the oven and carefully (hot pan) wrap the foil around the jalapenos. Let the peppers sit and steam for 5 minutes, or until they are cool enough to handle. This allows the skins to peel off much easier.
Using disposable gloves, peel the skins off the peppers and discard. Remove and discard the stems and seeds, also.
Roughly chop the peppers and set them aside.
Place the milk, stock, garlic, shallots, salt, and pepper in a medium saucepan over medium heat and bring to a simmer. Carefully taste for seasoning and adjust as desired. (It’s important your liquid tastes really good; it is the base of your dish, but be careful not to over-salt because you will be adding the cheeses which have a bit of saltiness, too.)
Once simmering, turn the heat to low and slowly add the grits while whisking.
Place a lid on the saucepan and cook for 20 minutes, or until the grits are creamy and tender.
Remove the saucepan from the heat. Add the cheeses, a handful at a time, stirring to blend and melt.
Fold the chopped jalapenos into the grits and mix well.
Taste for seasoning, adjusting as desired. Serve warm.