Prepare the grill for indirect cooking over high heat (450° to 550°F).
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 2½-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 the 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, 12 to 15 minutes, checking occasionally and moving or rotating the baking sheet as needed so the bottoms of the biscuits do not burn. Keep the grill lid closed as much as possible. Remove the biscuits from the grill and set aside to keep warm.
Change the method and temperature of the grill for direct cooking over medium heat (350° to 450°F).
In a small saucepan over low heat on the stove, warm ⅓ cup of the jalapeño jelly until it melts. Brush the cooking grates clean. Grill the ham steaks over direct medium heat, with the lid closed, until the ham is nicely marked and crispy on the edges, 4 to 6 minutes, turning once and basting with jalapeño 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 jalapeño jelly on top.