Step 1: Slice each jalapeño in half lengthwise through the stem, and using a small metal spoon or paring knife, carefully remove the seeds and ribs from each pepper. Arrange the peppers on a rimmed baking sheet for filling.
Step 2: In a small mixing bowl, combine the cream cheese, lemon zest, and paprika and stir vigorously with a wooden spoon until smooth. Fill each pepper with this mixture. Top each with some crab meat. Wrap a strip of bacon around each pepper and secure with a toothpick.
Step 3: Set up your grill for indirect grilling and preheat to 300 to 350 degrees. Arrange the chile peppers on the grill grate, away from the heat. Toss the wood chips, if using, on the coals. Smoke-roast until the bacon is browned, the chiles are tender, and the filling is bubbling, 20 to 25 minutes.