Roast peppers by placing them on open gas flame, turning frequently with tongs until all sides are charredblack, about 7-10 minutes. Can also roast peppers under broiler or on the grill. Place blackened peppers in a plasic or paper bag, and let rest until cool enough to handle, about 15 minutes. Peel peppers, split in half lengthwise, and discard all seeds and stems. FInely chop and set aside.
In large pot, heat oil over medium heat. Add onions and cayenne and cook, stirring, until very soft, about 6 minutes. Add flour and stir until thickened, 1-2 minutes. Add tomatoes and chopped chilies. Cook for 1 minute. SLowly add cream and stir until thick, 3-4 minutes. Add cheeses and cook, stirring, until melted and smooth.
Remove from heat, adjust seasonings to taste and pour into fondue or warming dish. Serve with tortilla chips.