Special equipment: a deep fryer and eight thick 10-inch wooden skewers
Preheat the canola oil to 350 degrees F in a deep fryer.
Heat the olive oil in a large skillet over medium heat. Add the bell peppers, onion and garlic and cook until softened, 2 to 3 minutes. Stir in the mushrooms and cook until the mushrooms are softened, 2 to 3 minutes more. Season with salt and pepper. Add the steak and cook, stirring occasionally, until the meat is no longer pink. Add the Worcestershire sauce and cook 1 minute more. Remove the skillet from the heat and let it cool a little bit.
Melt the butter in a saucepan over medium heat. Add the flour and cook, stirring, for 2 minutes. Slowly stir in the warm half-and-half. Using a whisk, whisk until the sauce is smooth. Using a spoon again, stir in the Cheddar, processed cheese, garlic powder, cayenne and paprika. Season with salt and pepper. Remove the sauce from the heat and let it cool a bit.
Set a small bowl with 2 to 3 tablespoons of water near your work surface. Place some of the meat mixture in center of an egg roll wrapper. Pour some of the cheese sauce on top. Fold in the sides of the wrapper and roll up into an egg roll. Using your finger, dab the edges of the wrapper with water and seal. Push a skewer into the end of the egg roll. Repeat with the remaining wrappers and filling.
In batches, submerge the egg rolls in the hot oil (making sure the skewers are kept mostly above the oil line) and fry until golden brown. Transfer the egg rolls to paper towels on a plate to drain off the oil.
This recipe was created by a contestant during a cooking competition. It has not been tested for home use.