Preheat a grill for high heat. Soak skewers in water.

Place a strip of jalapeno into the opening of butterflied shrimp. Wrap with a piece of the bacon, and thread onto skewers so that the shrimp is pierced once through the head, and once through the tail, and bacon is secure. You can usually fit about 6 shrimp on a skewer. Make sure there is a little space between the shrimp, this will help the bacon cook better. Season both sides of the shrimp generously with Cajun seasoning.

Lightly oil the grill grate. Place shrimp skewers on the grill, and cook for 2 to 3 minutes on one side. Turn, and place slices of cheese over the shrimp. Cook for another 2 to 3 minutes, until bacon is browned, and cheese is melted.