Combine all of the ingredients in a small bowl and stir to blend. Cover and refrigerate until needed.
Preheat the broiler. Get out a large, rimmed baking sheet.
Lay the bacon slices on a large piece of wax paper. Dust each slice with chili powder and pepper. Put a scallop at one end and roll it up in the bacon. If desired, trim the bacon to just overlap around the scallop. Stick a toothpick into the bacon to hold it in place. Repeat for all of the scallops. Place them in a large bowl.
Drizzle with butter, turning to coat.
Place the scallops, uncrowded, on the baking sheet. Broil for 15 to 20 minutes, or until the scallops are cooked through and appear opaque. Remove the sheet from the oven—be careful of the hot juices—and serve with the sauce.