Place each chicken schnitzel between two sheets of cling film. Gently flatten with a meat mallet or rolling pin. Season both sides with salt and pepper.
Cut the chilli pepper in half lengthways. Remove the seeds and white membranes, then finely dice the flesh. In a small bowl, mix the cream cheese and grated cheddar. Stir in the diced chilli.
Spread roughly one-quarter of the filling on each flattened schnitzel. Roll tightly from one short end to the other. Wrap each roll with three bacon slices: one wrapped lengthways along the seam, and two wrapped around the short ends. Secure with toothpicks.
Heat oil in a large oven-safe skillet over medium-high heat. Sear the bacon-wrapped rolls for 2-3 minutes per side until the bacon begins to brown.
Pour the chicken broth into the pan to deglaze, scraping up any browned bits from the bottom.
Transfer the skillet to the preheated oven and bake for 10 minutes. Verify the thickest part of the chicken reaches 74 °C (165 °F) using an instant-read thermometer.
Serve with tomato salsa, salad, potato wedges, rosemary potatoes, or bread.