Fill a pot or skillet with high sides, halfway up with oil and bring to 365 degrees F.
Heat a large nonstick skillet over medium heat. Melt 1 tablespoon butter and cook the Canadian bacon until crisp, about 2 minutes. Transfer to a plate and set aside.
In a medium bowl, whisk together 8 eggs, milk, salt and pepper. Return the skillet to moderate heat and add the remaining tablespoon of butter. Once melted, add the eggs, lower the heat and cook slowly until the eggs are slightly running but mostly cooked through. Remove from heat and let cool.
To assemble the egg rolls, working one at a time, place the egg roll wrapper at an angle on a clean work surface. Place about 1 tablespoon cheddar and 1 tablespoon mozzarella cheese into the center of the wrapper. Top with 2 tablespoons of the cooked eggs, the Canadian bacon and sprinkle with chives.
Bring the corners into the center, over the filling, and roll into a tight log. Brush the edge lightly with the egg wash and place on a platter or baking sheet. Working in batches, fry egg rolls until golden brown, about 2-3 minutes per side.
To make the hollandaise, place the egg yolks in a heat-proof bowl with the lemon juice, and whisk vigorously until doubled in volume, about 3 minutes.
Place the bowl over a medium saucepan of barely simmering water making sure that the water doesn't touch the bottom of the bowl. Continue to whisk rapidly. Keep the heat low so that the egg yolks don't get too hot.
Slowly drizzle in the melted butter in a slow steady stream, whisking nonstop until doubled in volume. Remove from heat and whisk in a pinch of cayenne and salt. If it gets too thick, you can whisk in a small amount of hot water to loosen it up before serving.
Serve the egg rolls warm with the sauce for dipping and a sprinkling of chives to garnish.