Preheat the oven to 400 degrees Fahrenheit.
Slice the jalapeños in half and remove the seeds. Place on a baking sheet, cavity facing up.
Brown the chorizo in a skillet, removing as soon as browned as to not overcook. Drain, then spoon into jalapeños.
Use a spoon to press mascarpone into jalapeño halves with chorizo, smoothing the top and avoiding filling the peppers too fully. Top with shredded cheddar. Try to make sure the peppers are facing up and are balanced, so the melting cheese does not run out during the baking process.
Bake for about 10 minutes, then turn on the broiler for 2-3 minutes, or until the cheese on top bubbles and browns. Top with chopped cilantro and serve with lime wedges for squeezing.