Blistered shishito peppers are filled with a rich, salty mixture of feta and cream cheese, then wrapped in phyllo dough and baked until puffed and golden. A sprinkling of sesame seeds gives the finger food a wonderful nutty finish.
Toss peppers with oil; season with salt. Heat a cast-iron skillet over medium-high; add peppers and cook, stirring, until blistered, about 2 minutes. Transfer to a plate; let cool completely.
Stir together feta and cream cheese in a small bowl until smooth. Make a small slit along long side of each pepper; stuff peppers with cheese mixture.
Preheat oven to 375 degrees. Lay 1 phyllo sheet on a work surface; brush with oil. (Keep rest of phyllo covered with a damp towel as you work.) Cut lengthwise into 3-to-4-inch-wide strips (slightly smaller than peppers). Place a pepper at bottom of each strip; tightly roll. Transfer, seam-side down, to a parchment-lined baking sheet. Brush top with oil; sprinkle with sesame seeds. Repeat with remaining peppers and phyllo. (Rolled peppers can be frozen, covered tightly, up to 2 weeks.) Bake until phyllo is golden brown, about 30 minutes. Let cool slightly before serving.
To heat these from frozen, arrange them on a parchment-lined baking sheet and bake at 375 degrees until golden brown and crisp, 30 to 35 minutes.