While vegetables are roasting, in 3-quart saucepan, heat remaining tablespoon oil over medium heat. Add shallot and salt; cook until softened and translucent. Stir in evaporated milk and green chiles. Heat to boiling. Add cream cheese, stirring well to combine. In 2 batches, add Cheddar and pepper Jack cheese, stirring well after each addition until combined. Remove from heat.