In a liquid measuring cup add the water and warm to 110 degrees F (43 degrees C). Add the yeast then let stand until foamy, about 5 minutes.
In a stand mixer with a dough hook, add the shortening or bacon fat, sugar, salt, and hot water. Mix until most of the shortening is melted and soft floating on top of the water. Allow the mixture to cool until warm (110 degrees F | 43 degrees C).
Add to the warm shortening liquid 2 cups flour, thyme, and oregano, then mix until smooth.
Add the yeast mixture and beaten egg to the dough mixture; mix on slow speed until mostly combined.
Add the remaining 2 cups of flour and continue to mix on low to medium until combined. Mix or knead for 2 minutes on low speed in the stand mixer. The dough will still be very wet.
Increase the speed to medium for about 8 minutes until the dough becomes elastic. Alternately you can knead by hand on a counter for 15 minutes. The dough will be wet, so try to resist the urge to flour the counter too much, as the moisture keeps the dough soft when baked.
Place the dough into a greased bowl. Cover with plastic wrap and let rise in a warm area until doubled, 1 to 2 hours.
Cut the cream cheese into 1/2-inch (13mm) cubes, and leave to warm to room temperature.
Cook the bacon until crispy then chop and/or crumble into small pieces. Put aside until needed.
Remove the skins of the jalapeños by placing them in an oven at 400 degrees F (205 degrees C) for 15 minutes until the skins blister. Immediately remove and place the jalapeños in a bowl with plastic wrap to steam and loosen the skin for at least 15 minutes. Peel the skins off.
Slice the jalapeños in half lengthwise. Trim off the stem then use a small spoon to scrape out the seeds. Finely dice the jalapeños.
Crack the eggs and beat. Pour into a warm frying pan stirring continually to make a very soft set of scrambled eggs so it is partially runny. Place into a bowl and put aside until needed.
To Bake the Jalapeño Popper Rolls
Once the dough is doubled, gently roll the dough out into 24 x 16 inch rectangle that is 1/4-inch thick (60 x 40cm rectangle that is 6mm thick).
Add the filling on top of the dough. Using fingers, lay the room temperature cream cheese cubes across the top of the dough then spread to make it as even as possible. Evenly crumble and spread the partially cooked scrambled egg. Evenly sprinkle the finely diced jalapeños and bacon.
Roll the dough along the long edge and pinch the end of the dough to the roll then sit on the seam. Slice into 12 even pieces across the roll, about 1 1/2-inches (3.8cm) thick. Place the rolls with spiral showing into 2 greased 10-inch Dutch ovens with spaces in between. Alternatively, a 13 x 9 inch (33 x 23 cm) greased tray may be used.
Allow the rolls to rise for 1 hour, this will mostly fill in the gaps between the rolls.
Add the heat to bring the Dutch oven up to 375 degrees F (190 degrees C). Once at temperature bake the rolls for about 30 minutes until the dough is cooked through and brown on top. The dough will have an internal temperature of 195 degrees F (90 degrees C).
Thyme Cheese Sauce
In a small heavy pot melt the butter, then whisk in the flour, mustard, and cayenne until thickened and smells nutty.
Slowly whisk in whipping cream and milk, then bring to a gentle boil while whisking to prevent lumps and burning.
Turn the heat down to a low temperature. Cook the mixture like this until frothy and thickened, about 7 more minutes.
Turn off the heat then add the cream cheese, cheese, and thyme. Whisk to melt the cheese until smooth.