In a large heavy bottomed pot, heat 3 inches of oil to 400 degrees.
In a medium bowl, mix the bacon with jalapeños and cheese.
Working with one wonton skin at a time, lay out the wonton wrapper on a flat surface with one side facing you. Place 2 heaping tablespoons of the bacon mixture on the bottom left corner of the wrapper. Top with one shrimp, letting the tail stick out the bottom. Fold the top of the wonton wrapper over the shrimp. Brush a bit of water on the right side of the wrapper and then roll the shrimp up like a burrito with the tail sticking out the bottom.
Fry the flautas in batches until golden brown, about 3 to 4 minutes. Transfer to a paper towel-lined plate. Serve right away.