Slice the kielbasa into ½-inch-thick rounds. Cut the bacon strips in half.
Wrap a half-strip of bacon around each kielbasa slice and secure with a toothpick, forming a little cup or shot glass.
In a medium bowl, mix the softened cream cheese, sour cream, shredded Colby Jack cheese, and sweet BBQ rub until smooth and creamy.
Transfer the cheese mixture to a piping bag or a sandwich bag with one corner snipped off.
Pipe the creamy filling into each bacon-wrapped kielbasa cup, filling about ¾ of the way. Top each with a pickled or fresh jalapeño slice.
Preheat your smoker to 250°F (121°C). Arrange the pig shots on the smoker grates and smoke for 1 hour.
While they smoke, prepare the glaze by whisking together the maple syrup, bourbon, and honey until well combined.
Increase the smoker temperature to 350°F (177°C) and cook for another 30 minutes, until the bacon is crispy and the cheese filling is puffed and golden brown.
During the last 5 minutes of cooking, generously brush each pig shot with the maple bourbon glaze.
Remove the pig shots from the smoker, carefully take out the toothpicks, and arrange them on a serving platter.
Brush with another layer of sticky maple bourbon glaze just before serving. Enjoy these smoky, cheesy, sweet-and-spicy bites while warm!