Preheat grill pan, large griddle or outdoor grill to medium-high heat.
Cut into and across the tenderloins lengthwise to open them. Place the meat under parchment or plastic wrap and pound meat out to just shy of a half-inch thick, using a mallet or heavy small skillet. Season the pork with salt and pepper on the exposed side.
Combine the shallots with cheese, toasted nuts, thyme and lemon zest. Evenly distribute half of the mixture onto each pork loin. Roll the pork tenderloins up and secure the rolls with kitchen twine. Generously coat the meat with EVOO and season liberally with salt, pepper and fennel seeds.