Andy, I've done the same thing with jalapeņos, but fresnos have skin that's a little tougher. If you don't blanch them first, what I've found happens is that the bacon gets done and the cheese melts, but the skin is still tough.
Oh, OK Steve. I have been smoking them so there's time for the skins to soften. I was concerned they'd get mushy.
"If you want to make an apple pie from scratch, you must first create the universe." -Carl Sagan