Preheat grill to medium (350° to 450°). Wearing kitchen gloves, halve chiles lengthwise. Scoop out seeds and ribs with a spoon.
Toast cumin seeds in a small frying pan over medium heat until fragrant, 1 minute. Transfer to a food processor, add cheeses, and whirl to blend. Put cheese mixture in a bowl and stir in onions and shrimp.
Spoon cheese filling into chiles. Lay a sheet of greased foil on cooking grate. Set chiles, filling side up, on greased foil, cover grill, and cook until chiles are tender and cheese is melted and starting to brown, 15 minutes. Let cool slightly before serving.