Preheat the oven to 425 F degrees. Line a baking sheet with parchment paper.
Toss the jalapeños 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 bag for about 5 minutes to 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.
Please keep in mind that nutritional information is a rough estimate and can vary greatly based on products used.