Preheat the oven to 350F. Using an oven-safe skillet, cook the bacon until brown. Remove from the skillet and transfer to a plate lined with paper towels. Drain fat from the skillet.
Return the skillet to the stove, melt the butter and saute the minced shallots for about 2 mins
Add Brussels sprouts, cayenne pepper, and salt. Cook them for about 10 mins
Remove the skillet from the flame and add the heavy cream. Top with the shredded cheeses and crumbled bacon and bake until the cheeses are melted and bubbly, for about 15 mins.