Mix the minced meat with the yogurt, dried thyme (use double the amount if using fresh thyme instead), paprika powder, salt, mustard, tomato paste, and pepper. Season to taste.
Refrigerate the meat mixture for at least 30 minutes.
Form pieces of sheep's cheese into small portions. Embed them in the minced meat and shape each portion into a roll approximately 6-7 cm long and 4 cm in diameter.
Wrap each roll with bacon.
Heat a grill to medium-high heat and grill the rolls for approximately 12-15 minutes, turning every 2-3 minutes, until the internal temperature reaches 63°C / 145°F.