Prepare the grill for indirect cooking over high heat.
In a large bowl, combine the flour, baking powder, baking soda, and salt.
Cut in the shortening with your fingertips or a pastry blender until the mixture resembles coarse bread crumbs. Add the buttermilk and stir just until the mixture sticks together.
Turn the dough out onto a lightly floured surface and knead lightly for 20 to 30 seconds. Lightly dust your hands with flour and gently pat out the dough to a thickness of about ¾ inch.
Dip a 2 ½-inch round biscuit cutter in flour and cut out rounds of dough. Gather scraps of dough and pat out, using a light touch, so you don't overwork the dough; cut to make a total of 12 biscuits.
Place the biscuits close together on a greased baking sheet. Brush the tops with melted butter.
Grill the sheet of biscuits over indirect high heat (keeping the grill's temperature as close to 400°F as possible) until the biscuits are lightly browned, about 12 to 15 minutes, checking occasionally and moving or rotating the sheet as needed, so the bottoms of the biscuits do not burn. Keep the grill lid closed as much as possible.
Prepare the grill for direct cooking over medium heat.
In a small saucepan over low heat, warm ⅓ cup of the jalapeno jelly until it melts.
Brush the cooking grates clean.
Grill the ham steaks over direct medium heat, with the lid closed as much as possible, until the ham is nicely marked and crispy on the edges, 4 to 6 minutes, turning once and basting with jalapeno jelly before and after turning.
Cut the ham into pieces about the same size as the biscuits. Split each biscuit horizontally. Serve the ham warm in biscuits with the remaining jalapeno jelly on top.
For an extra kick of heat, try pureeing a deseeded jalapeno in a food processor and adding it to the jelly while it's being heated. This gave my jelly an extra crunch and a bit more heat, which I loved.