Preheat oven to 375°F (190°C) and line a baking sheet with foil, placing a rack on top.
In a bowl, mix beef, breadcrumbs, eggs, milk, onion, garlic, Worcestershire, ketchup, mustard, salt, pepper, and paprika until just combined.
In another bowl, mix cheese, bacon, and pickles. Flatten the beef mixture into a 10×12-inch rectangle, spread the filling, and roll tightly, sealing edges.
Place seam-side down on the rack and cover with bacon slices, overlapping slightly.
Whisk ketchup, brown sugar, mustard, and vinegar for a glaze and brush half on the loaf.
Bake 60–70 minutes until internal temp reaches 160°F, brushing on the rest of the glaze halfway.
Broil briefly for crisp bacon if desired. Rest 10–15 minutes before slicing and serve with potatoes, veggies, or salad.