In a bowl or food processor, combine the mayonnaise, chilies and adobo sauce, garlic, lime juice and lime zest and stir or process to mix well.
Lay as many bacon slices as will fit in a single layer in a large, heavy frying pan and cook over medium-low heat until opaque but still soft, about 5 minutes. Press down with a spatula to keep the bacon flat. Transfer to absorbent paper to drain. Wipe out the pan and cook the remaining bacon in the same way.
Dry the shrimp with paper towels. Sprinkle with pepper and stuff with cheese. Push the sides together and wrap with cooked bacon slice, covering all the cheese so it won¹t melt out. If necessary, secure with a toothpick.
In the same frying pan over medium heat, warm 2 tablespoons of the oil. Add a few of the bacon-wrapped shrimp and fry, turning frequently and adding more oil as needed to prevent sticking, until the bacon is browned and the shrimp are pink, about 10 minutes. Transfer to absorbent 09 paper. Repeat until all shrimp are fried.
Serve the shrimp on plates and accompany with the chipotle mayonnaise.
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