Soak about 28 bamboo skewers in cold water for 20 minutes.
Preheat the oven to 350 degrees F. Coat a baking sheet with nonstick cooking spray and line it with parchment paper.
Combine the sugar, maple syrup and cayenne in a medium bowl; stir in the water.
Cut the bacon strips across in half. One at a time, dunk the pieces of bacon in the sugar mixture, wipe off the excess with your fingers, and place the pieces flat on the baking sheet. When the bacon has formed one layer on the pan, thread a skewer through each slice, keeping the slices flat and leaving some of the skewer sticking out at the bottom as a handle.
Top the skewered bacon with a second piece of parchment paper and place an empty baking sheet on top. This keeps the bacon weighted down so it stays nice and flat. (The sheet pan goes directly over the parchment-topped bacon.) Bake until the bacon is cooked through and dark brown around the edges, about 35 minutes. Transfer to a wire rack set over a baking pan to cool.
Once cooled, you can store the bacon lollipops for 1 to 2 days in the refrigerator; place them flat on a baking sheet lined with parchment paper and wrap tightly in plastic wrap.