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Cut the kielbasa into 1-inch thick slices.
Wrap each slice of kielbasa with a piece of thick cut bacon, securing it with a toothpick to create a mini meat shot glass.
Prepare the filling by mixing cream cheese, Colby jack cheese, and BBQ rub together until well combined.
Transfer the filling to a plastic bag, snip off a corner, and pipe it into each bacon-wrapped kielbasa cup.
Top each filled cup with a pickled jalapeño.
Place the prepared shots on the smoker or grill at 325°F using indirect heat for about 45 minutes.
Once the bacon is crispy, take them off the heat and drizzle with hot honey.