Prep the bacon: Cut bacon strips in half lengthwise, then cut each thin strip into 3 equal pieces for a total of 48. Set aside.
Marinate the water chestnuts: Mix soy sauce and honey in a medium bowl. Add water chestnuts and toss to coat. Marinate at room temperature for about 30 minutes, turning 2–3 times.
Prepare the oven: Preheat oven to 400°F. Place a metal rack inside a large rimmed baking sheet, and spray with non-stick cooking spray.
Wrap the water chestnuts: Drain chestnuts, reserving marinade. Wrap each chestnut with one piece of bacon, then a second piece on the opposite side. Secure with a toothpick. Place on the prepared rack and brush with reserved marinade.
Bake: Roast for 20 minutes, remove, brush with more marinade, then return for another 10–15 minutes until bacon is crispy and caramelized.
Make the dipping sauce: While baking, combine Greek yogurt, Dijon mustard, hot sauce, cayenne, and parsley in a small bowl. Season with salt and pepper. Chill until ready to serve.
Serve: Remove toothpicks before serving, or leave them in for easy dipping. Serve warm with spicy mustard sauce.