Combine the cornmeal, flour, baking powder and salt in a bowl. Stir together.
Measure the buttermilk and milk in a measuring cup and add the egg. Stir together with a fork. Add the baking soda and stir. Pour the milk mixture into the dry ingredients. Stir with a fork until combined. Fold in the cheese. Set aside.
In a small bowl, melt the shortening in the microwave. Slowly add the melted shortening to the batter, stirring until just combined.
In an iron skillet, melt the butter over medium heat. Saute the peppers and onions until soft, 4 to 5 minutes. Pour the batter into the hot skillet with the veggies. Spread to even out the surface. (Batter should sizzle.)
Cook for 1 minute, and then transfer to the oven and bake until golden brown, for 20 to 25 minutes.