Preheat oven to 400°F. Place the potatoes directly onto the oven rack and bake until fork tender, about 45 minutes to 1 hour. Remove from the oven and set aside until cool enough to handle.
Slice the potatoes in half, lengthwise, and use a spoon to scoop out most of the potato flesh. You want to leave a thick layer inside so that the potatoes aren't flimsy and stand up to the fillings. You can save the potato insides for another recipe. Place the potato skins on a wire rack, set over a baking sheet and drizzle with oil. Season with a bit of salt and pepper and return to the oven and bake until golden brown and crispy, about 10 to 12 minutes.
Remove from the oven and sprinkle the potatoes with half of the shredded cheese. Top each with pork, ham and pickles. Sprinkle with the remaining cheese and return to the oven once more until warmed through and the cheese has melted, about 10 to 12 minutes longer.
To make the sauce, in a medium bowl, combine the dijon mustard, yellow mustard, vinegar, garlic, honey, cayenne, and a pinch of salt and pepper until smooth. Give it a taste and adjust accordingly, adding more salt, pepper or cayenne if needed. Serve alongside the warm potatoes for dipping. Enjoy!