Preheat your oven to 400°F.
Wash and dry your potatoes and place them on a sheet pan. Drizzle a tbsp of oil onto the center of the pan, then use your hands to rub the oil into the skin of each potato. Use a fork, or the tip of a knife, to make small holes all over the surface of the potatoes. Sprinkle them with a tsp of salt and a 1/2 tsp of pepper. Place the pan of potatoes into the oven and bake for an hour.
Season the steak with the worcestershire and season salt. Toss to coat completely. In a large saute pan, heat the remaining oil over medium-high heat. Add the steak slices and sear until browned. Using a slotted spoon, remove the meat from the pan to a clean dish.
Using the same pan, sauté the mushrooms for 10 minutes, or until the water extracted from them has almost completely evaporated. Add the peppers, onions, and garlic to the pan and sauté until the mixture is a nice, golden brown color- about 6 minutes. Mix the veggies in with the cooked beef and set the container holding them in a heated oven to keep warm.
In a saucier, or a sauce pan with sloped sides, melt the butter over medium heat. Whisk in the flour and allow it to cook for at least one minute. Pour in the warmed cream and season the mixture with the remaining salt and pepper, the nutmeg, and the dijon mustard. Whisk to combine completely. Bring the mixture up to a simmer. Simmer until thickened whisking frequently.
Add your shredded cheeses and whisk them into the béchamel sauce making sure it's fully melted.
Remove the baked potatoes from the oven and make a slit down the middle of the potato- lengthwise- using a sharp knife. Use your fingers to push the ends towards the middle to open the potatoes slightly, and carefully (they're hot potatoes), scoop out the meat of the potatoes and place them into a separate bowl. Mash the potatoes until they are smooth using a potato masher or ricer. Add them to the warmed cheese sauce.
Fill your empty potato skins with a half cup of the potato mixture. Top your filled potatoes with a cup of the beef and veggie mixture- it's okay if the potato overflows, it's a full meal, remember?
Finish the Philly cheesesteak potato with a generous topping of shredded cheese. Broil on low until the cheese is melted and bubbly. Remove from the oven and serve immediately.