Position an oven rack 4 to 5 inches from the heating element, and preheat the broiler. Line a baking sheet with foil.
Cut the stem end off the jalapenos, cut each in half lengthwise and remove and discard the seeds (wear food-grade gloves if your skin is sensitive). Arrange the jalapenos skin-side up on the prepared baking sheet, and brush with the oil. Broil until the peppers are blackened and puffy, 3 to 4 minutes. When cool enough to handle, rub off the skins (running under cold water helps). Cut 2 of the halves into large dice so you have 32 pieces (1 for the top of each biscuit); set aside. Finely chop the rest of the peppers, and transfer to a medium bowl.
Switch the oven from broil to bake, and preheat to 400 degrees F. Remove the foil from the baking sheet, and line it with parchment. Beat the egg well in a small bowl.
Add the cream cheese, mozzarella and half the egg to the bowl with the chopped peppers, add 1/4 teaspoon salt and mix to combine.
Separate the biscuit rounds, and cut each into quarters. Make a deep indentation in the center of each quarter, and fill with a heaping teaspoon of the pepper-cheese mixture (it will mound above the biscuit a fair amount). Brush any exposed biscuit with the remaining beaten egg. Bake until the biscuits are puffed and golden around the top, 10 to 12 minutes. Garnish each with a piece of reserved jalapeno.
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