Cut each piece of bacon in half and place on a baking sheet. Bake until half cooked, about 4 to 5 minutes. Remove and set aside until cool enough to handle.
Place 1 strip of roasted jalapeno alongside each chicken strip and wrap with half a piece of bacon. Secure with a toothpick and season with pepper to taste.
Arrange on a parchment-lined baking sheet and bake until chicken is cooked through, 20 to 30 minutes.
Meanwhile, make the cheese sauce by combining the cheese and cream in a glass bowl.
Place the bowl over a pot of simmering water, making sure the bottom of the bowl does not touch the water.
Stir slowly until the cheese is melted into the cream and fully blended.