Step 1: Slice the top off each jalapeño, and using a pepper corer or the blade of a vegetable peeler, carefully remove the seed core from each pepper. Reserve the tops. Arrange the peppers upright in a chile roasting rack.
Step 2: In a small mixing bowl, combine the cream cheese, lemon zest, and paprika and stir vigorously with a wooden spoon until smooth. Stir in the crab. Fill each pepper with this mixture. Wrap a strip of bacon around each pepper and secure with a toothpick. Replace the tops.
Step 3: Set up your grill for indirect grilling and preheat to medium-high. Put the rack with the chile peppers on the grill grate away from 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 minutes. Dig in.