Preheat a smoker to 250°F. Use your preferred wood for a mild smoke flavor. Set a small cast-iron skillet on the smoker to preheat for the corn.

In a mixing bowl, stir together the egg, breadcrumbs, milk, onion, mustard, ketchup, Worcestershire sauce, salt, and black pepper. Add the ground beef and 1/2 cup of the cheddar. Mix gently until just combined.

Lay a large sheet of parchment on the counter. Shape about half of the beef mixture into a compact rectangle. Sprinkle the diced jalapeño and remaining 1/2 cup cheddar down the center, leaving the edges clear. Cover with the rest of the beef mixture and seal the edges well so the filling is enclosed.

Shape the meatloaf into a loaf and place it seam-side down on the parchment. Lay the bacon slices across the top, tucking their ends underneath the loaf. Transfer the meatloaf to the smoker, using the parchment to help move it.

Smoke until the center reaches 150°F, about 1 1/2 to 2 hours. Brush the top and sides with the barbecue sauce. Continue smoking until the center reaches 160°F.

While the meatloaf finishes, rub the corn with the vegetable oil. Place the ears in the preheated skillet and cook, turning occasionally, until lightly charred in spots and tender. Remove the corn from the cobs.

Take the meatloaf off the smoker and rest it for 10 minutes before slicing. Serve the slices with the charred corn.