Preheat oven to 400 degrees. Create a few tubes by rolling aluminum foil up lengthwise on itself. Spray these with cooking oil. Slice the russet potato on a mandoline lengthwise, creating about 15 to 20 slices that are 6 to 8 inches long. Wrap each slice around the prepared tubes and place seam side down on a baking sheet. Brush the wrapped potatoes with butter and sprinkle with sea salt.
Bake the potatoes for 8 to 9 minutes, until crisp and browned. Allow to cool slightly then remove from the aluminum foil mold while still warm. Set aside to cool completely on a wire rack.
Meanwhile, make the mashed potato filling. Bring a large pot of water to boil and add the gold potatoes. Simmer until potatoes are fork tender, about 20 minutes.
While the potatoes are cooking, warm the cream over low heat. Drain the potatoes, return them to the pot and mash them well with the butter. Add half of the warm cream and mash until mixed, then add the remaining cream and half of the cheese. Mix well, then mix in the remaining cheese little by little until all of it is incorporated. Add the nutmeg then salt to taste.
Allow the potato filling to cool slightly, then put it into a piping bag with a star tip. Pipe the potato filling into the cooled potato cannolis and sprinkle with chives. Serve immediately.