MAKE A SLIT WITH THE TIP of a paring knife in the pepper at the cap. Place the oil in a deep saucepan and heat to a temperature of 375F. Have a bowl of ice water handy. Fry the peppers a few at a time for about 1 minute, or until the skin is blistered all over. Remove with tongs, and plunge into the ice water. Repeat until all peppers are fried. When cool enough to handle, gently rub off the skin. Cut a slit in one side of the pepper, and remove the seeds, keeping the pepper whole. Set aside, reserving the oil. In a bowl, mix together the mozzarella, Monterey Jack, garlic, thyme, oregano, cilantro, salt and pepper. Gently stuff the mixture into the peppers, securing them with toothpicks. Chill for 30 minutes. Beat the egg with the milk. Roll the peppers in the mixture, and then roll in cornmeal. Heat the reserved oil to 375F. Fry the peppers for about 3 minutes, or until golden brown. As you fry, be careful not to crowd the pan. Remove the peppers from the pan with tongs, drain on paper towels, and repeat until all peppers are fried. Serve immediately, accompanied by salsa, if desired. Serves 6. Note: The peppers can be prepared up to the point of being dredged in cornmeal and fried up to two days in advance and refrigerated, tightly covered with plastic wrap. Dredge with cornmeal and fry just prior to serving.