For the glaze, melt the butter in a heavy-bottomed saucepan. Add the bell pepper and garlic and sauté until tender, about 8 to 10 minutes. Add the remaining ingredients and simmer until the peppers are very soft, about 15 minutes. Transfer to a food processor and purée until smooth. Strain and set aside until ready to serve.
To prepare the "chicken wings," skin and bone the chicken wings or thighs and roughly chop. Transfer the chicken meat to the bowl of a food processor fitted with a metal chopping blade, and pulse on and off until smooth. Add the garlic, shallots, sugar, red pepper and salt, and blend thoroughly. Add the egg whites and heavy cream and process until just combined.
Work with one wrapper at a time while keeping the others tightly covered so they do not dry out. Brush each wrapper with the beaten egg and egg yolk mixture. Cut into quarters to produce 4 equal squares. Place a teaspoonful of the chicken mixture in the center of each square. Place a pinch of crumbled blue cheese on the chicken filling and press it into the center. Fold up the corners of the squares to form a tight bundle around the chicken and blue cheese filling. Brush each bundle with the egg mixture and roll in the panko to coat. Refrigerate until the remaining bundles have been made.
Heat the vegetable oil to 350°F (175°C) in a deep-fryer or a tall stockpot. Fry the "chicken wing" bundles until golden brown and cooked through, about 4 to 5 minutes. An instant-read thermometer inserted into one of the bundles should reach 160°F (80°C) when they are done. Remove from the oil and drain on paper towels. Serve with the sweet-and-spicy glaze.