Yes I'm listening.
A couple thoughts:
Saisons are often fermented hot, like 75 or 80 F. However in my own experience, I don't think this is necessary or a good idea. When I make saisons, I start fermentation in the 60s and bring up temperature only in the second half of fermentation. Reason: Generation of fusel alcohols, which you may know can kill head retention. Question: Did you pitch and ferment hot, like 75 F or higher? Could be the culprit, regardless of what others might tell you about making saisons.
Second thought: Jalapenos purchased from your local grocer seem to have a wax applied to them. Wax = fat, which could again mess with your head retention. When I use jalapenos, I give them a good scrub to try to remove at least some of this film. Did you give your peppers a good washing? Might be the culprit.
Other than that, could be a number of factors. Yes, it could be from oils in the peppers themselves, or from the seeds, or who knows. Personally I have not experience this in my own jalapeno beers (which I've made many many times), but could it happen? I dunno, maybe!?
Thinking out loud... Perhaps adding them to your boil and going through the whole fermentation is making a difference vs. what I do which is to add at the very end. I really have no idea why this would make a difference though.
My guess is it's either from fermenting way too hot, or from the waxy coating. If you can grow your own, then you can easily avoid the wax thing, too.
Cheers, and better luck in the future!