Cut the bacon slices in half and place in a single layer in the air fryer. Set the air fryer to 400 degrees for 4 to 5 minutes (they will not be fully cooked). Let them cool. Drain any grease from the air fryer.

Note: This may need to be done in two smaller batches.

Pat the shrimp dry with paper towels and place in a bowl. Sprinkle Cajun or Old Bay seasoning on the shrimp and toss until coated.

Wrap each half slice of bacon around each shrimp and secure with a toothpick. Place them in the air fryer basket. Sprinkle with more Cajun or old bay seasoning.

Note: If some of the bacon slices are too small to wrap completely around the shrimp just wrap the top part, secure with the toothpick, and place the shrimp in the air fryer with the bacon seam side down.

Set the air fryer to 400 degrees for 8 to 9 minutes.

Melt a few spoonfuls of the pepper jelly in the microwave to 20 seconds. Brush the melted jelly over the shrimp during the last minute or two in the air fryer.

Serve with extra melted jelly for dipping if desired.