Heat a grill or grill pan to high heat.  Add the brats and the poblano pepper. Cook the poblano pepper for about 2 minutes, until partially blackened and blistered.  Turn over and cook for another 2 minutes.  Remove from the heat, allow to cool slightly give it a rough chop.  Set aside until ready to use.  

Cook the bratwurst links on the grill for about 10 minutes, turning every 3-4 minutes, until cooked through and browned.

Heat a large skillet to high heat and add the chopped bacon.  Cook on high heat for 7-10 minutes until the bacon is browned and crispy, stirring occasionally.  Remove from the heat with a slotted spoon and transfer the bacon to a bowl that's lined with a paper towel.  Set aside until ready to serve.

In a small saucepan, add the cheese and cream.  Stir on medium heat until it becomes a thick, stringy cheese sauce. 

To build the brats: Open the pretzel rolls lengthwise and place a brat into each roll.  Spoon the cheese sauce on top of the brats, and top the cheese sauce with the roasted poblano and the bacon.  Serve immediately.