Preheat the oven to 400 degrees F.
Remove the seeds from all of the peppers and cut into 1/2-inch lengthwise strips.
Set up a breading station: 1 pan of 1 cup of flour, 1 pan of eggs beaten with milk, 2 tablespoons of flour and mustard, and 1 pan of bread crumbs seasoned with cheese, and salt and pepper, to taste.
Coat the peppers in the flour, then in the egg mixture and then in the bread crumbs.
Arrange the chili fries on a nonstick baking sheet and roast for 18 minutes, turning once.
Remove from the oven and transfer to a serving platter.