Preheat your grill to medium-high heat.While your gill is heating up, prepare your nachos. Heat a large nonstick skillet over medium heat. Add the chorizo sausage, and cook until brown and cooked through, about 10 minutes. Remove from heat and transfer the chorizo to a plate that has been lined with a paper towel. Set aside.
In a medium saucepan, melt the butter over medium heat. Whisk in the flour and cook until golden and bubbly, about 2 minutes. Whisk in the milk and continue to whisk until the sauce is just slightly thickened. Reduce the heat to low, and add the cheddar cheese in ½ cup increments, making sure each batch is fully melted before adding the next. Stir until smooth. Season the cheese sauce with cayenne, salt and black pepper. Keep warm over low heat.
On a large piece of heavy duty foil (that is plenty long so that you can completely encase the nachos when you are done assembling), assemble your nachos by layering ¾ cup of cheese on 1 layer of sweet potato chips, drizzling it with cheese sauce, and sprinkling it with chorizo. Repeat this layer one more time. Fold the sides of the foil up and over the nachos, making sure it doesn't touch the top of the nachos. Scrunch the foil on top so that it is easy to handle and carry. Place the nachos directly on the grill, and cook for about 6 minutes or until the cheese is melted. Remove from heat.
At this point, add your remaining ingredients. Sprinkle with cotija cheese and sliced jalapenos. Top with sliced avocado and cilantro leaves. Enjoy immediately for best results!