Stir together mayonnaise, pimientos, shallot, cayenne, and salt. Fold in cheese. This can be made ahead of time and stored in the fridge until ready to use.
Preheat oven to 400°F or prep grill.
Halve jalapeños lengthwise and remove seeds. Fill each cavity with pimiento cheese.
Slice bacon into halves or thirds (depending on size of slices) and wrap around each jalapeño, securing with a toothpick if necessary.