Preheat the pellet grill to 250°F. Set it up for indirect cooking, and lightly oil a grill-safe meatloaf pan or perforated grill tray.

In a large bowl, combine the egg, breadcrumbs, and milk. Let the mixture stand for 2 minutes so the breadcrumbs can soften.

Add the ground beef, diced onion, Worcestershire sauce, salt, black pepper, and smoked paprika. Mix gently just until combined. Avoid compacting the mixture, which can make the meatloaf dense.

Shape the mixture into a compact loaf on the prepared pan or tray. Lay the bacon slices across the top, tucking the ends underneath the loaf so they stay in place.

Place the meatloaf on the grill. Smoke until the center reaches about 150°F, checking with an instant-read thermometer.

Brush the top and sides with half of the barbecue sauce. Continue cooking until the center reaches 160°F and the bacon is browned, about 10 to 15 minutes more. If the bacon needs more color, raise the grill temperature briefly while watching closely.

Transfer the meatloaf to a cutting board and let it rest for 10 minutes. Brush with the remaining barbecue sauce, then slice and serve.