If using salted cod, wash the fillets to remove excess salt. Then, soak fillets in plain water (enough to cover) for 24-48 hours in the fridge. Change the water every 8 hours. Remove skin and de-bone fillets. If using non-salted cod, skip this step.
Preheat the conventional broiler, positioning the broiler rack approximately 6 inches from the source of heat.
Pan-Fry Cod Fillets: pat dry the cod fillets with paper towel very well; otherwise they'll stick to the pan. Season both sides with salt, pepper, and paprika, rubbing well. If desired, dredge in a little flour and shake to remove excess.
Heat a 10-inch cast iron skillet over high heat. Once pan is hot, add 2-3 tbsp oil and tilt pan to distribute oil. Add the cod fillets seasoned side down and sear for 2-3 minutes. Cook them in batches so as to not overcrowd pan.
If necessary, add remaining oil. Then flip the cod fillets and cook for another 2-3 minutes.
Prepare Mornay Sauce or Cheese Sauce: melt the butter over medium heat in a saucepan.
Add the flour and cook, whisking constantly, until obtaining a pale yellow roux (about 1 minute). Don't let the roux brown!
Slowly whisk in the milk, stirring constantly, until the sauce thickens (about 6-7 minutes).
Season with the salt, pepper and nutmeg. Whisk in 2 cups cheeses until melted. If necessary, thin the sauce with a little milk..
Pour sauce over fish fillets. Sprinkle on 1/2 cup yellow cheddar cheese.
Broil the dish in the cast-iron skillet for about 3-5 minutes, or until cheese melts and turns golden brown. Remove from the oven, top with salsa, and serve immediately.
NOTE: For the salsa, simply mix tomatoes, olives, jalapeno, and herbs together in a bowl. Drizzle in a little bit of olive oil and mix in a little bit of white wine vinegar if desired.