Cook the chorizo in a cast iron skillet until fully cooked, about 5 minutes.
Remove the cooked chorizo and set aside.
Add the olive oil to the skillet and whisk in the flour to make a roux. Cook for 30 seconds, then whisk in the milk.
Continue to cook until the mixture thickens.
Turn the heat to low, and add the chorizo back into the skillet, as well as the Oaxaca cheese chunks, and the cilantro and the Mexican blend cheese. Mix until well combined.
Top with cheddar.
Place under the broiler until the top is bubbly.
Remove from the oven and allow to cool 5 minutes before serving with Pico de Gallo and corn chips.