Whisk soy sauce and brown sugar in a medium bowl. Add water chestnuts and marinate for 1 hour.
Preheat oven to 350 degrees. Lightly spray a large baking sheet with cooking spray.
Discard the marinade and wrap a piece of bacon around each water chestnut. Secure with a toothpick.
Place on baking sheet and bake for 20 minutes.
Remove baking sheet from oven. Turn oven to broil. Brush the tops of each bacon wrapped water chestnut with bbq sauce. Broil for a few minutes, until browned and crispy.
To make sauce, stir together mayonnaise, 1/4 cup bbq sauce, and cayenne pepper in a small bowl.