Combine apple juice, soy sauce, vinegar and sugar in a small saucepan. Bring to a boil over high heat. Reduce heat to medium-low and simmer until thickened and syrupy, about 15 minutes. Remove from heat and cool to room temperature.
While glaze is cooking, preheat oven to 400°F. Line a rimmed baking sheet with foil and place a cooling rack on top. Lay bacon in one layer on top of cooling rack and roast for 15 minutes. Remove to a paper towel-lined plate to cool.
Working with 4 slices of bacon at a time, stack them and cut into 8 one-inch squares. (You should end up with 24 stacks of 4 layers, or 3 stacks per skewer.)
Preheat broiler or prepare a charcoal fire and let burn to a gray ash. Thread shrimp onto 8 long metal skewers, alternating with snow peas, peppers and stacks of bacon.
Set broiling pan or grill about 6 inches from heat source. Brush each skewer with soy glaze and broil or grill, turning often, until shrimp is pink throughout and bacon is browned and sizzling, about 7 minutes. Serve warm.