Preheat the oven to 400 degrees F (200 degrees C). Line a baking sheet with a wire rack.

Heat a large skillet over medium-high heat. Add olive oil and chorizo; cook and stir until browned and crumbly, 5 to 7 minutes.

Mix chorizo, cream cheese, and Cheddar together using a blender or hand mixer until thoroughly combined. Push mixture into one corner of a resealable zip-top bag and cut the tip to create a pastry bag.

Pipe mixture into the jalapenos. Wrap each jalapeno with a slice of bacon, overlapping it over the filling. Place jalapenos on the prepared baking sheet.

Bake in the preheated oven until bacon is crispy and jalapenos are tender, about 35 minutes.