Slice cheese lengthwise to make 8 even strips. Place 1 strip of cheese in center of each chicken thigh. Fold ends over and wrap each with a strip of bacon, secure with wooden picks.

Combine egg whites and lemon juice. Combine flour and lemon pepper seasoning. Dip each chicken thigh in egg mixture, dredge in flour mixture. Pour oil to depth of 1 inch into a heavy skillet. Fry in hot oil until golden brown.