Place both cheeses in the food processor and puree until smooth. Add the lemon zest, thyme, cayenne, and cherries and pulse until the cherries are chopped and evenly distributed.
Cover and chill for at least 30 minutes.
Place the pistachios (and bacon) in small bowls. Scoop a 2 teaspoons portion of cheese mixture into your hands and roll into a smooth ball. Then place the ball in the pistachios and gently shake until the ball is covered with nuts. Press the cheese ball into a mini fillo shell and place on a platter. Repeat with the remaining cheese mixture.
If making ahead, cover the platter well and refrigerate until ready to serve. Can be made 1-2 days ahead.