4 large jalapeño peppers (about 3 ounces each)
4 ounces cream cheese, divided into 4 pieces, chilled
1/2 teaspoon ground cumin
Kosher salt and freshly ground black pepper
4 small boneless, skinless chicken breasts (about 5 ounces each)
4 thin slices Colby Jack cheese
20 slices bacon (about 1 1/2 pounds)
Wear gloves to protect your hands and use a small paring knife to cut the stem-end off the jalapeño; you should see the white ribs attached to the walls of the jalapeño. Use the paring knife to remove the ribs from the walls. Make a cut down the length of the jalapeño from the top to the tip. Carefully, without breaking the jalapeño in half, scrape out the ribs and seeds. Transfer to a microwave-safe bowl, add 3 tablespoons water, cover tightly with plastic wrap and microwave on high power until the jalapeños turn olive green and are lightly softened but are still firm and hold their shape, 2 to 3 minutes. Let cool.
Stuff each cooled jalapeño with a piece of cream cheese; squeeze the walls around the cream cheese to force out any air pockets and to seal the jalapeño walls together.
Mix together the cumin, 1 tablespoon salt and 1/2 teaspoon pepper in a small bowl. Pound the chicken lengthwise down the breast to make a rectangular 1/4-inch-thick cutlet. Sprinkle with a quarter of the seasoned salt. Repeat with the remaining chicken and seasoned salt.
With one of the narrow ends of the chicken facing you, lay a piece of Colby Jack cheese at the bottom of the cutlet. Place 1 stuffed jalapeño crosswise on top of the cheese about 2 inches from the bottom. Tightly roll up the chicken and the cheese around the jalapeño, folding in the sides as you roll. Repeat with the remaining chicken and jalapeños.
Lay 5 strips of bacon on a clean work surface so that the strips are slightly overlapping (about 1/4-inch) and are wide enough to completely cover a chicken roll. Place 1 chicken roll at the bottom of the bacon blanket. Wrap the bacon tightly over the chicken roll. Repeat with the remaining bacon and chicken rolls.
Prepare a grill for indirect grilling and heat to medium-high heat.
Place the chicken rolls, bacon seam-side down, on the cooler side of the grill. Cover and cook until the bacon is beginning to brown and the cheese is beginning to melt and ooze from the sides, 15 to 20 minutes. Transfer the chicken rolls to the hot side of the grill and cook until lightly charred, 1 to 2 minutes per side. Let cool 10 minutes before serving.