Place shrimp and vinaigrette into a large resealable plastic bag; refrigerate for 15 minutes.
Microwave bacon for 1 minute on HIGH. Cut slices in half crosswise (for a total of 24 pieces) and let cool.
Heat broiler. Coat a large broiler pan with nonstick cooking spray.
Remove shrimp from marinade, reserving marinade. Put one piece of bacon on work surface. Place a shrimp at one end; tuck a jalapeno slice into curl of shrimp. Roll bacon up tightly to enclose filling, securing with toothpick. Repeat using all bacon, shrimp and jalapenos.
Stir together mayonnaise, chili sauce, pickle relish, red pepper and 1 tablespoon water in small bowl.
Place shrimp rolls on prepared pan. Brush with reserved marinade. Broil 3 minutes. Turn, brush with marinade and broil 2 minutes more. Serve with sauce for dipping.