1. Place shrimp and balsamic dressing into a large resealable plastic bag. Refrigerate for 15 minutes. Soak toothpicks in water while shrimp is marinating.
2. Microwave bacon on HIGH for one minute. Cut slices in half crosswise (for a total of 24 pieces) and let cool.
3. Heat broiler. Coat a large broiler pan with nonstick cooking spray.
4. Remove shrimp from marinade, reserving the marinade. Put one piece of bacon on a work surface. Place a shrimp at one end; tuck a jalapeno slice into the curl of the shrimp; roll bacon up tightly to enclose filling, securing with a toothpick. Repeat, using all bacon, shrimp, and jalapenos.
5. Stir together mayonnaise, chili sauce, pickle relish, red pepper, and 1 T. water. Cover dipping sauce; refrigerate until ready to use.
6. Place shrimp rolls on prepared pan and brush with the reserved marinade. Broil 3 minutes. Turn and brush with marinade; broil an additional 2 minutes.
7. Serve with sauce.