THE BEST WAY TO PEEL these peppers is to fry them in oil and then plunge into ice water (see column). Carefully remove the skin, keeping the cap and flesh whole. Make a slit down one side, and carefully cut out the seeds. Rinse the peppers in cold water, and drain on paper towels. Heat the olive oil in a small skillet over medium heat. Add the shallots and garlic, and saute, stirring constantly, for 3 minutes. Scrape the mixture into a bowl and add the basil, thyme, rosemary, parsley, salt, pepper, goat cheese and mozzarella. Mix well, and form the mixture into 6 cylinders the same size as the peppers. Place one cylinder of the mixture in each pepper, skewer the peppers shut with toothpicks, and chill for 1 hour. Heat the oil to 375F. Beat the egg with the milk, and dip the filled peppers. Roll in flour, and fry in the hot oil until brown, turning gently with tongs. Remove with tongs, drain on paper towels, and serve immediately, accompanied by salsa, if desired.
NOTE: The peppers can be completed up to step 3 a day in advance and refrigerated, tightly covered with plastic wrap.