1.Preheat oven to 200°C/180°C fan. Line an oven tray with baking paper.
2.Place flour, sugar, cheese and thyme in a medium bowl; season. Make a well in the centre; add milk. Use a butter knife to “cut” the milk through flour mixture, into to a soft, sticky dough. Do not overmix.
3.Turn onto a floured surface and bring together, dusting with a little extra flour if needed. Press dough out until 2cm thick. Dip a 3.5cm round cutter in flour; cut as many rounds as possible from dough. Place scones side-by-side, just touching, on tray. Gently knead scraps of dough together; repeat pressing and cutting of dough. Place rounds on tray. Brush tops with butter.
4.Bake scones for 15 minutes or until browned lightly. Transfer to a wire rack to cool.
5.Meanwhile, make capsicum cheese.
6.Split scones in half, spread each with capsicum cheese; fill with ham. Top scones with jalapeños; secure with toothpicks.
7.Process ingredients until smooth.