Make the filling: In a medium-sized bowl, combine the diced jalapeños, softened cream cheese, shredded cheddar cheese, and crumbled bacon. Mix until smooth and well combined.
Assemble the egg rolls: Lay an egg roll wrapper flat on a clean surface. Spoon about 1 tablespoon of the filling into the center. Fold the bottom corner over the filling, then fold in the sides and roll tightly. Brush the edges with beaten egg to seal. Repeat with remaining wrappers and filling.
Heat the oil: In a deep pan or fryer, heat oil to 350°F (175°C).
Fry the egg rolls: Fry 3–4 egg rolls at a time, turning occasionally, until golden brown and crispy (about 2–3 minutes). Remove and drain on paper towels.
Serve: Serve hot with your favorite dipping sauce, such as ranch, sriracha mayo, or avocado crema. Enjoy!