Preheat the oven to 400 degrees F. Coat a 10-inch round baking dish or skillet with nonstick cooking spray.
Beat the egg together with 1 tablespoon water in a small bowl and set aside.
Roll out the dough on a lightly floured surface. Divide and cut the dough into 12 rectangles. Brush the egg wash on top of each rectangle.
Place a Cheddar cube in the center of each rectangle. Place a couple jalapeño slices on every other rectangle (see Cook's Note). Close the dough around the cheese cubes and jalapeños and shape the pieces into balls. Place the balls around the edge of the prepared baking dish.
Mix the shredded Cheddar, cream cheese, mayonnaise, mozzarella, Parmesan, chives, salt, pepper, garlic and onion together in a medium bowl. Spoon the mixture into the center of the baking dish. Sprinkle additional Cheddar on top. Bake until the cheese is bubbly and golden brown, 20 to 25 minutes.
Arrange the blue corn tortilla chips and olive slices to resemble a Jack-o'-lantern. Serve hot with more tortilla chips.
To make sure the alternating of spicy and mild fillings in the bread balls is a welcomed treat, be sure to warn guests about the spicy trick before eating.