Preheat the oven to 425 degrees F. Line a baking sheet with parchment paper.
Toss the jalapenos with 1 tablespoon olive oil, some salt and pepper and lay skin-side up on the prepared baking sheet. Bake until the skin is blistered, 10 to15 minutes. Place in a plastic baggie for about 5 minutes loosen the skin. Pull off the skin, remove the majority of seeds and ribs, and slice. Set aside.
Spread the mascarpone on 4 slices of bread and divide the Cheddar among the other 4 slices. Divide the sliced jalapenos among the 4 sandwiches. Close, and butter both sides of the bread.
Heat half of the remaining oil on a flat griddle over medium heat. Grill one side of the sandwiches until golden. Remove, heat the remaining oil and repeat with the second side until golden and the insides are all melty and gooey.