In a medium bowl, whisk together the butter and 4 ounces of the blue cheese until very smooth. Transfer to a serving bowl and set aside at room temperature.
In a blender, puree the BBQ sauce, peppers, 1 teaspoon of the cumin and 1 teaspoon of the paprika until smooth. Pour into a large mixing bowl large enough to hold all of the wings.
In a shallow dish, whisk together the flour, remaining cumin and paprika, and season it with salt and pepper. Sprinkle the wings with salt and pepper. Fill a deep, heavy pot with 6 inches of oil and heat to 365 degrees F, or preheat a deep fryer.
Toss the chicken wings in the seasoned flour until well coated, shaking off the excess flour. Fry in batches until golden brown, crisp and cooked through, about 13 minutes. Drain briefly on paper towels before adding them to the sauce and tossing them to coat while they are still hot.
Transfer the wings to a serving platter. Dollop a little of the blue cheese butter on top of the wings to melt; serve the rest on the side for dipping. Sprinkle the remaining blue cheese over the top and serve immediately.
Recipe courtesy of Geoffrey Zakarian