Heat pellet grill or smoker to 250℉ with your choice of wood or pellets.
In a large mixing bowl, mix together the egg, milk, Worcestershire sauce, minced garlic, diced jalapeno, salt, and pepper until well combined. Then mix in the breadcrumbs, grated onion, ground beef, and ground beef/pork/veal blend. Use your hands or a wooden spoon to incorporate all of the ingredients together. Allow the mixture to sit in the refrigerator for 30 minutes for all of the ingredients to come together and the breadcrumbs to soak up some of the moisture.
While the meatball mixture is resting, oil a wire cooling rack with non-stick cooking spray or a paper towel with a few drops of cooking oil. Set aside.
Use a cookie scoop or measuring cup to portion out about ⅓ cup of the meat mixture. Place one cube of cheese inside the meat mixture, and roll it in the palms of your hands to form a ball. Take care to completely cover the cheese cube. Repeat until all of the meatballs are stuffed with cheese and formed into balls. *You should have 16 meatballs. TIP - We used 3 level scoops of a 2 tablespoon cookie scoop to portion out our meat quickly and easily.
Sprinkle the meatballs with your favorite all-purpose seasoning, and transfer to the wire cooling rack, evenly spaced. *We used Shake That All-Purpose Seasoning.
Place the wire cooling rack with the meatballs on the indirect heat side of the grill. Smoke at 250℉ until the internal temperature of the meatballs reaches 160℉ as read by an instant read meat thermometer. *Our meatballs took about 2 hours and 30 minutes to reach 160℉ internal temp, but cooking times will vary based on your pellet grill and the size of your meatballs.
When the Philly meatballs are almost done smoking, prepare the cheese sauce. Either heat Cheez Whiz in a small saucepan (mixed with about 2 tablespoons of milk if you wish), or make the homemade cheese sauce. *See notes.
When smoked meatballs reach the proper internal temp, remove from the smoker or grill and transfer to a serving platter. Drizzle with cheese sauce and serve warm.