Place the onion, bell pepper, tomatoes, jalapeno pepper, and garlic into a 2-quart baking dish. Season with the salt and pepper; drizzle with olive oil. Stir until the vegetables are completely coated with olive oil.
Roast in the preheated oven until the the vegetables are tender and brown, about 1 hour, stirring every 15 minutes.
Pour the vegetables and whipping cream into a blender, filling the pitcher no more than halfway full. Hold the lid of the blender with a folded kitchen towel and carefully start the blender, using a few quick pulses to get the vegetables moving before leaving it on to puree. Puree in batches until smooth and pour into a saucepan.
Cook and stir the pureed dip over medium heat until it reaches a simmer. Stir in the shredded mozzarella cheese until melted. Serve hot.