I've created an extension which can transform HTTP request to any other text format as long as you can create a simple Mustache template for it. Recently I created a template to convert request to JMX project. It's a basic template but you can customize as per your needs.

https://github.com/hemantsharma-io/MockingBird#convert-a-get-http-request-to-jmx-ie-jmeter-for-perf-testing-in-fiddler

Just to highlight: This article: http://www.perftesting.co.uk/creating-jmeter-test-plans-with-fiddler/2013/03/01/ shows how to compile your own JMX exporter, which you can plug into Fiddler to enable this type of export.

Our application is secured and we don't want to expose the code, hence having this feature will resolve the trouble.

Native support might be neat. Fiddler does allow File > Export > HAR, and it looks like you can readily convert a HAR file to a JMX file; see http://converter.blazemeter.com

https://wiki.apache.org/jmeter/JmxTestPlan

https://stackoverflow.com/questions/24910478/exporting-fiddler-session-as-jmx-for-jmeter-test-plan