In a small bowl, combine cheeses, bacon, pepperoni & jalapeno's.
Place about 2-3 tablespoons of the filling mixture inside the egg roll and, using your finger, apply a thin coating of water to the outside edges of the egg roll. Per package instructions, roll the egg roll.
Place pepperoni pockets into a casserole dish, cover and put in the freezer for about 3 hours.
Once frozen, heat vegetable oil to 375 degrees F and cook until pepperoni pocket is golden brown. Remove from oil and place on cooling rack to drain (place cooling rack on top of a cookie sheet to allow proper draining).