Roast the jalapeno under the broiler until the skin is black and blistered. Remove from heat and place in a bowl. Cover with a plate and let sit for 10 minutes. When cool enough to handle, peel the skin. Slice off the stem and remove the seeds. Place in a blender and add the cashews, water, vinegar, shallot, garlic, cucumber, lemon, and salt and pepper. Blend until creamy, adding a little more water if needed. Taste and adjust the seasonings if needed. Transfer to a bowl and stir in the chopped chives. Place in the refrigerator.
Set the sliced mushrooms in a large shallow bowl. Top with olive oil, soy sauce, and balsamic vinegar, and toss to coat. Season with black pepper.
Heat a gas grill to medium, or heat up a grill pan over medium-high heat. Grill the mushrooms, flipping once, until char marks form, 3-4 minutes on each side.
Make tacos with the warmed tortillas and grilled mushrooms, and serve with the avocado, cabbage, cilantro, and jalapeno sauce.