Preheat oven to 350°F
Soak mushrooms in warm water for 25-30 minutes. Rinse and drain mushrooms and trim off any stem ends. Gently snap off stems and chop them finely.
In a large skillet melt 1 tablespoon of butter and frequently stir half the mushroom caps until browned on both sides, about 7 minutes. Pour into a bowl and brown remaining mushrooms in 1 additional tablespoon of butter; pour into same bowl.
To the same skillet, add one more tablespoon butter, chopped mushroom stems, and shallots; stir often over high heat until lightly browned, about 6 minutes.
Reconstitute and rinse chile (Be sure to wear rubber gloves), cut chile in half lengthwise and remove stem; scrape out and discard seeds and veins.
Chop the chile and add to skillet, stirring often, over high heat until limp, for 1 to 2 minutes. Scrape into shallot mixture.
Add 1/3 cup pretzel crumbs, Blue cheese, and cream cheese to the shallot mixture and mix well, add salt and pepper to taste.
Mound 1 to 1 1/2 teaspoons cheese mixture in the cavity of each mushroom caps; arrange mushrooms in a 9- by 13-inch baking dish.
Melt remaining 2 tablespoons butter and mix with remaining 1/3 cup pretzel crumbs.
Sprinkle over mushrooms. Bake mushrooms until well browned (15 to 20 minutes).
Transfer to a platter and serve warm. Makes about 4 dozen caps.