Heat pellet grill or smoker to 275℉ with your choice of pellets or wood. Line a baking sheet with aluminum foil and set aside.
Use a damp paper towel to clean the mushrooms, removing any dirt or debris. Remove the stems from the mushrooms. Finely dice the mushroom stems.
Place the mushroom caps cavity side down on a wire cooling rack. Set the rack on the grill, and smoke for about 10-12 minutes to begin drying out the mushrooms a bit. After 10-12 minutes, remove the mushroom caps from the smoker and set aside until ready to stuff. Then adjust the grill temperature down to 250℉.
While the caps are on the grill, prepare the filling. In a skillet over medium heat, sauté the diced mushroom stems, diced shallot, and diced jalapeno pepper with 1 tablespoon butter or cooking oil. Sauté for about 12-14 minutes to remove a good amount of the excess moisture from the mushroom stems. When there's only about 2-3 minutes of sauté time left, add the minced garlic to the skillet to cook with the sautéed mushrooms and veggies. Then set the mixture aside to cool slightly.
While the mushroom stems and veggies cool, add the cream cheese, parmesan cheese, cheddar cheese, mayo, Worcestershire, and dijon mustard to a large mixing bowl. Mix together well. Then fold in the mushroom stems and shallot mixture until well combined.
Use a cookie scoop or spoon to fill each mushroom cap with about 2 tablespoons of filling, gently pressing down to stuff the caps and round off the tops. As you stuff the mushrooms, set them on the prepared baking sheet, cavity side up.
In a separate small bowl, mix together the panko breadcrumbs and 1 tablespoon of melted butter. Sprinkle the panko on top of each stuffed mushroom, distributing evenly.
Place the baking sheet with the stuffed mushrooms on the grill. Smoke at 250℉ for 1 to 1½ hours. Then remove from the grill, allow to cool slightly, and serve. Optional - sprinkle on a bit of dried parsley for garnish.