Coat the bulgur wheat in the olive oil and pour over the boiling water. Cover the bowl tightly with clingfilm and let it stand for 10 minutes. Drain the bulgur wheat through a sieve, pressing on it to remove any excess water. Transfer to a large mixing bowl and toss with the peppers, mushrooms, thyme sprigs, Roquefort and seasoning.
Split the aubergines down their centres and scoop out as much of the centre as you can. Spoon the stuffing into the created cavities and arrange on baking trays. Drizzle with the remaining olive oil and season generously. Bake for 25-30 minutes until the aubergines are soft and the stuffing is piping hot. Remove and leave to stand for a few minutes before serving on plates.