Heat oven to 400°F. Spray large cookie sheets with Crisco® Original No-Stick Cooking Spray or line with cooking parchment paper. To make filling, in medium bowl, beat ricotta cheese and cream cheese with electric mixer on low speed until blended. Add milk; beat on medium speed 3 minutes until light and fluffy. Stir in lemon peel. Cover; refrigerate.
In food processor, add flour, baking powder and red pepper. Cover; process until well blended. Add butter; cover and process until mixture resembles coarse crumbs. Add Cheddar cheese, pecans and bacon. Cover; process with on-and-off pulses until mixture is consistency of fine crumbs. With food processor running, gradually add enough water through feed tube and process just until dough pulls away from side of bowl and forms a ball.
Shape dough into 48 (1 1/4–inch) balls; place 2 inches apart on cookie sheets. Using fingers, press each ball into 2-inch round.
Bake 8 to 12 minutes or until edges are golden brown. Cool 2 minutes; remove from cookie sheets to cooling racks. Cool completely, about 10 minutes.
Spread or pipe about 1 tablespoon filling on bottom of each of 24 rounds. Top with remaining rounds, bottom sides down. Store covered in refrigerator.