Before roasting, puncture with knife to prevent bursting!! Roast chiles individually over gas flame, on gas grill, under gas broiler, or in preheated 500° F oven until charred and blistered all over.
Place in a paper bag or in covered casserole for 10 minutes to steam. Carefully peel chiles.
Make a slit in the stem end of each chile and remove seeds if desired. I do not remove seeds as I can't do it without tearing up the chile.
In a large bowl, whisk together the flour, baking powder, baking soda and salt.
Beat egg slightly and combine with buttermilk.
Add to flour mixture, stirring gently to mix. Do not worry if your batter is a little lumpy. It should be the consistency of pancake batter. If it seems a bit thick, thin with a little more buttermilk.
Set batter aside at room temperature.
Heat peanut oil in a large, heavy pot (cast iron or enameled cast iron work well here) and bring the oil to 350° F.
Mix the flour and salt for the dredge and place in a shallow pan.
Insert a strip of cheese into each chile. Stuff carefully to avoid breaking.
To coat chiles, dip stuffed chiles into the dredge and then into batter. Let excess drain back into the batter bowl and then carefully lower the chile into the hot oil.
Fry until golden brown, turning once. Remove from fat and keep warm in a 200°F oven until you have fried all the chiles.