Season each quail with salt and pepper. Transfer to a bowl, add oil, thyme, and garlic. Coat all the quail and refrigerate, covered, at least 1 hour.
Preheat oven to 475 F. Remove quail from marinade. Stuff the quail with a slice of jalapeño and 1 sprig rosemary. Wrap one strip of bacon or pancetta around breast and transfer quail, breast side up, to a sheet pan. Repeat with remaining quail. Roast until just cooked through (cut into inner thigh; meat will still be slightly pink), about 12-15 minutes.
The quail are actually better when they are grilled rather than roasted.