I resorted to growing my own jalapenos. My turkeys ate one once and subsequently left the plant alone.
I have found jalapeno sauce around, next to the tabasco sauce.
As for the peppers themselves: You'll probably have to find a substitute, as you won't find many jalapenos in the stores here. None will have the earthy picante smoky flavor of jalapenos on a grill. You might try the sweet green, red, and yellow/orange bell peppers for a colorful variation. As they are placed on the grill, sprinkle the jalapeno sauce on top for a bit of spicy fire. Combined with the sweetness of the bell peppers, you could get a very flavorful variation (albeit not equivalent to the original).
Good luck.