In a small bowl, gently stir together warm water, sugar and yeast and let stand until foamy for about 5 minutes.
In a saucepan or a microwave safe bowl, melt butter in a small saucepan. Add milk and heat to lukewarm. Stir in the yeast mixture, flour and salt in a large mixing bowl with a spatula until combined to slightly sticky dough that forms a ball.
Knead dough on a lightly floured surface, adding in more flour (little by little) if dough is too sticky. Knead for 10 minutes until smooth and elastic
Form into a ball and put in buttered bowl and cover with a cling film to raise. let it rise in a warm place 1 hour or until doubled in size.
Once the dough is ready, punch down and release all the air and distribute the dough in 20 equal parts.
Slice the bacon strips into to vertical halfs. Chop the cheeese cubes in 20 equal cubes.
Press down the dough to a small rounds, spread a little pesto, place the cheese cube in the middle and seal the dough to make a round or oval. Wrap it in one of the bacon strips and seal it with a toothpick or fruit skewer.
Repeat for all 20 pieces. In the meanwhile, heat oil in a kadhai. Very carefully drop the bacon wrapped cheese bombs in hot oil 2-3 pieces at a time. Fry on one side till golden brown and turn over. Remove from oil when both sides are golden brown.
Let it cool atleast 2-3 minutes before serving with ketchup, chilli mayo or may be more pesto.