In a large saucepot, heat the vegetable oil over high heat. Once the oil is shimmering, add the bell peppers, onion, celery, and jalapeños. Saute the vegetables, stirring occasionally, until tender, about 10 minutes.
Add the cayenne pepper, black pepper, bay leaf, salt, and garlic to the vegetables. Stir over high heat, until fragrant, about 2 minutes. Add the flour and stir until the sauce starts to thicken around 30 seconds.
Once the sauce has thickened, add the chicken broth and stir until the sauce is smooth. Allow the sauce to come to a boil, reduce the heat to low and simmer, stirring occasionally, until thickened, about 10 minutes.
Add the heavy cream and sour cream to the sauce, stir well until all the sour cream is mixed into the sauce.
Remove the sauce from the heat, add the shredded Colby and Monterey jack cheese and mix until the cheese is melted into the sauce.
In a small bowl, whisk eggs and buttermilk. In a medium bowl, add the all-purpose flour, cornmeal, and cajun spice mix.