Heat oil in a pot and fry onion until soft. Add the rest of the ingredients with the exception of marrow, cheese and hot sauce. Cover, reduce heat and simmer until most of the water is absorbed, about 20 minutes.
Preheat oven to 170 C / Gas 3.
Spoon filling into the cavities.
Bake in the oven for 20 minutes then add cheese and a drizzle of hot sauce and bake until the marrow is soft and the cheese is bubbly, about 10 minutes more.
To make your own adobo seasoning find our recipe here