Adjust oven rack to upper-middle position and heat oven to 425 degrees. Set wire rack in aluminum foil–lined rimmed baking sheet and spray rack evenly with vegetable oil spray.

Place saltines in large zipper-lock bag, seal bag, and crush saltines fine with rolling pin. Whisk saltines, milk, and Worcestershire together in large bowl. Let sit for 5 minutes to soften saltines. Whisk saltine mixture until smooth paste forms. Add beef, Parmesan, Creole seasoning, thyme, and pepper and mix with your hands until thoroughly combined.

Divide mixture into about 24 scant ¼-cup portions. Roll portions between your slightly wet hands to form meatballs and evenly space on prepared wire rack. Roast meatballs until lightly browned on top, about 25 minutes.

Meanwhile, heat oil in large Dutch oven over medium-high heat until just smoking. Using rubber spatula, stir in flour and cook, stirring constantly, until mixture is color of peanut butter, 2 to 5 minutes. Reduce heat to medium and continue to cook, stirring constantly, until roux has darkened to color of milk chocolate, 5 to 10 minutes longer.

Stir in onion, bell pepper, celery, and bacon and cook until vegetables are softened, 7 to 10 minutes. Stir in scallion whites, garlic, and Creole seasoning and cook until fragrant, about 1 minute. Whisk in broth and Worcestershire until thoroughly combined. Bring to boil over medium-high heat.

Add meatballs to stew; reduce heat to low; and cook, covered, until flavors have melded, about 20 minutes. Uncover; increase heat to medium-high; and cook until thickened to texture of heavy cream, 8 to 12 minutes. Serve over rice, sprinkled with scallion greens.