In a saute pan over medium heat, add the olive oil and cook the jalapeno, red onion, and garlic until tender and let it cool briefly.
In a mixing bowl, combine the softened cream cheese, shredded cheddar cheese, diced jalapeños mixture, and a teaspoon of smoked paprika. Mix thoroughly until all the ingredients are well incorporated.
Next, cut the bratwurst sausage into 1-inch thick slices. The sausage can be precooked or raw.
Wrap a half slice of bacon around the outer edge of each sausage cup, securing it with a toothpick. This creates the “shot glass” shape.
Spoon or pipe the cheese mixture into each bacon-wrapped sausage cup, filling them to just below the rim. Place each one onto a wire rack for easy transfer on and off the smoker.
Preheat your smoker to 250°F and set the smoker for indirect heat.
Place the pig shots on the smoker grate, making sure they are not touching to ensure even cooking. Smoke for about 1.5 hours, or until the bacon is crispy and the filling is heated through.
Allow the pig shots to cool for a few minutes before serving. They can be served on their own or with a dipping sauce of your choice.