Add pepper jack cheese to one side of the chicken thighs and roll to secure the cheese in the middle. Wrap each chicken thigh with a slice of bacon, securing the ends of the bacon with toothpicks.
Once your air fryer is preheated, place the bacon-wrapped chicken thighs in the basket of the air fryer, making sure they are not overlapping.
Cook the chicken for 20-25 minutes, flipping it halfway through the cooking time until the internal temperature of the chicken reaches 165°F and the bacon is crispy. Use a meat thermometer to check the temperature.
Use a basting brush to coat the chicken thighs with your favorite BBQ sauce, serve, and enjoy!