Set up the cooker. Preheat a smoker, pellet grill, or covered grill to 375°F with indirect heat. For the oven method, preheat to 375°F with a rack in the center. Line a rimmed metal baking sheet with foil and lightly oil it. Use cooked, crisp bacon; allow extra time if cooking bacon from raw.
Prepare the peppers. Wear food-preparation gloves. Wash and dry the jalapeños, halve them lengthwise, and scrape out the seeds and pale inner ribs with a small spoon. Keep the pepper walls and tips intact. Wash tools and hands after handling peppers, and avoid touching your eyes.
Mix and fill. Reserve 1 tablespoon of the cream cheese in the refrigerator for the eyes. Mix the remaining cream cheese with cheddar, cooked bacon, scallions, smoked paprika, garlic powder, and black pepper. Divide among the 20 pepper halves, filling just to the rim or with a slight mound. Smooth the surface; do not pile the filling high.
Wrap the mummies. Unroll the cold crescent dough, pinching any seams closed. Cut into strips about 1/4 inch wide. Wind strips loosely around each filled pepper, securing the ends underneath. Leave small gaps between wraps and an uncovered space near the wide end for two eyes. Avoid thick overlapping layers on the bottom. If the dough gets sticky, chill it briefly before continuing. Brush the exposed dough lightly with milk.
Cook over indirect heat. Arrange the poppers filling-side up about 1 inch apart on the prepared sheet. Cook with the lid closed at 375°F for about 20–30 minutes, rotating the tray if one side browns faster. Start checking at 20 minutes. The dough should be golden and baked through underneath, the peppers slightly tender, and the filling hot; use 165°F in the filling as a conservative check. If the tops brown early, tent loosely with foil and continue until the underside is fully baked. In the oven, bake at 375°F for about 18–25 minutes, checking the same signs of doneness.
Rest, add eyes, and serve. Let the poppers rest for at least 5 minutes. Place two small dots of the reserved cream cheese in each eye opening and press a dry olive piece into each dot. Serve warm, allowing extra cooling if the cheese is still too hot to bite. The stems are handles, not part of the bite. Makes 20 poppers; plan on 2 per appetizer serving.