Preheat oven to 425 degrees F.
Combine jalapeños, shredded cheese and cream cheese in a small bowl to create the filling.
Lightly beat egg in a shallow dish. Place cornmeal in a separate shallow dish.
Cut a horizontal slit along the thin, long edge of each chicken breast; cut almost to the opposite side without fully cutting apart.
Place the filling in the center of the chicken and press the edges firmly together. Sprinkle both sides with salt and pepper. Coat the chicken in the egg, then dredge in the cornmeal.
Heat oil in a large ovenproof skillet over medium-high heat; add the chicken and cook until lightly browned on one side, about 3 minutes. Turn the chicken over and place the skillet in the oven.
Roast for 10-15 minutes until the chicken reaches an internal temperature of 165 degrees F.