Heat a small sauce pan over medium heat. Add the butter and allow it to cook until the butter begins to brown and starts to smells nutty, about 3 minutes. Whisk in the brown sugar and cayenne and cook another 2 minutes stirring regularly. Remove the pan from the heat and add the bourbon. Be careful as it will splatter. Place the pan back on the heat and ignite if desired. Continue to cook, whisking constantly, until a smooth caramel has formed, another 3 minutes. Season with 1/4 teaspoon salt.
Preheat the oven to 375 degrees.
Spread the bacon on a small baking sheet and bake in the oven for 8 minutes, just to begin to render the fat. Set aside.
Bring a large pot of salted water to a boil over high heat. Add the sprouts and simmer for
3 to 4 minutes or until just barely tender and still bright green. Spread on a sheet tray to cool slightly. Toss with the olive oil and remaining ¼ teaspoon salt.
Preheat the grill pan over medium heat. Spray with nonstick cooking spray.
Begin to assemble the skewers starting with a Brussels Sprout, then a piece of bacon, another sprout, another piece of bacon and finishing with a sprout. Continue until all of the skewers are assembled. Brush the glaze lightly over the skewers. Place them on the prepared grill pan and grill, brushing them with glaze with every turn, until the bacon is beginning to crisp and the Brussels sprouts are starting to char, about 1 to 2 minutes per side. Remove and serve warm drizzled with any remaining glaze.