Preheat a grill to high. Grill the bell peppers and chiles, turning occasionally, until evenly charred, about 10 minutes. Transfer to a bowl and cover; let cool. Stem, peel and discard the seeds. Slice 1 bell pepper, 1 poblano, 1 jalapeno and the anaheim into strips. Chop the remaining bell pepper, poblano and jalapeno and transfer to a skillet.
Season the steak on both sides with salt and cracked black pepper. Working with 1 piece at a time, arrange the roasted bell pepper, poblano, jalapeno and anaheim strips and the string cheese on the steak. Starting from a short end, roll up the steak, jelly-roll-style. Truss with kitchen string.
Add the olive oil and onion to the chopped peppers and chiles and cook over medium-high heat, stirring occasionally, for 4 minutes. Add the garlic and cook for 1 minute. Add the vodka and bring to a boil. Add the half-and-half and return to a boil. Season with salt and cracked black pepper.
Lower the grill temperature to medium. Cover and grill the rolled steaks, turning occasionally, for 10 to 12 minutes for medium-rare. Return the pepper sauce to a simmer; stir in the cilantro and scallions. Slice each steak crosswise and serve on a bed of sauce.