Combine the butter, brown sugar, salt, cayenne and bourbon in a small saucepan over medium heat. Whisking constantly, cook until the butter has melted and the mixture has formed a smooth sauce, about 8 minutes.
Spread the bacon out on a small baking sheet and bake for 8 to 10 minutes, just to begin to render the fat. Set aside.
Bring a large pot of salted water to a boil over high heat. Add the Brussels sprouts and simmer until just barely tender and still bright green, 5 minutes. Remove the Brussels sprouts to a baking sheet to cool slightly. Slice each Brussels sprout in half.
Preheat a grill pan over medium heat, and spray with nonstick cooking spray.
Assemble the skewers: Start by threading a Brussels sprout half onto a skewer, then add a piece of bacon, then another Brussels sprout, followed by another piece of bacon, and finishing with a Brussels sprout. Repeat in this way until all of the skewers are assembled. Brush the skewers lightly with bourbon glaze.
Place the skewers on the prepared grill pan and grill, brushing them with glaze with every turn, until the bacon is beginning to crisp and the Brussels sprouts are starting to char, 1 to 2 minutes per side. Remove to a serving platter and serve warm, drizzled with any remaining glaze.