Preheat an outdoor grill for medium indirect heat and lightly oil the grate.

Place bacon in a large skillet and cook over medium-high heat, turning occasionally, until crisp, about 10 minutes.

Meanwhile, cut a thin slice from the top of each onion; discard tops. Use a small spoon to scoop out the centers of the onions, leaving 1/2-inch-thick shells. Finely chop and reserve removed onions.

Remove cooked bacon from the skillet using a slotted spoon, reserving 1 tablespoon drippings in skillet. Drain bacon on a plate lined with a paper towel. Add 1 cup reserved chopped onions to the skillet. Cook over medium heat until onions are crisp-tender, about 5 minutes. Add serrano chiles and garlic to the skillet and cook 2 minutes. Stir in cooked bacon.

Mix Cheddar cheese, Neufchatel cheese, and thyme together in a bowl. Stir in bacon mixture. Spoon evenly into onion shells. Place each filled onion on a sheet of heavy duty aluminum foil. Drizzle 1 tablespoon balsamic dressing on top of each onion. Wrap foil tightly around onions, leaving room for heat circulation inside.

Grill on the preheated grill until onions are tender, about 25 minutes.