In a small saucepan, saute the shallots in one tablespoon of the olive oil. Add the chicken broth, lemon juice, tarragon, and the bay leaf. Bring it to a boil, lower the heat, and simmer until the mixture is reduced by half. Add the cream. Bring it to a boil again and reduce it by a quarter. Discard the bay leaf, season the sauce with salt and pepper, and set it aside.
In a small skillet, saute the onion in the remaining olive oil until it is golden; let it cool. In a bowl, combine the egg whites, gorgonzola, bread crumbs, onion, and more salt and pepper to taste.
On each chicken breast, place a tablespoon of the mascarpone, followed by 1/4 of the other cheese mixture. Fold the chicken breast together over the cheese and secure it with a toothpick. Place them all in a small buttered casserole or oven-proof skillet. Pour the reduced broth-cream sauce over the top and bake for approximately 35 minutes. Sprinkle with Romano cheese and bake for 5 more minutes.