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Add a drizzle of olive oil to a saucepan over MED heat. Add onion and garlic and cook about 5 minutes. Add in bourbon and continue cooking about 3 minutes.
Add tomato paste and whisk to break it up. Add all remaining sauce ingredients and whisk to combine. Increase heat to MED-HIGH and bring to a boil. Reduce heat to MED-LOW or LOW and simmer for about 15-20 minutes.
Pour sauce through a fine mesh sieve to strain out onion and garlic pieces if you like a smooth, glossy sauce. Set aside and cool. Store leftover bbq sauce in an airtight container in the refrigerator for 2-3 weeks.
Pat chicken wings dry with a clean paper towel. Add wings to a large mixing bowl and toss with vegetable oil. Add rub and massage into the wings, making sure each wing is coated.
Add hickory wood pellets to hopper. Turn on smoker, open lid and set to the SMOKE setting. Heat on SMOKE, with the lid open, for 5-10 minutes, until very smoky. Add chicken wings to oiled grill grates, set smoker to 250 F degrees. Close smoker lid and smoke for 2 hours 30 minutes, or until chicken wings reach an internal temperature of 165 F degrees. Use an instant read meat thermometer to insure accurate cooking temperatures.
Change smoker setting to HIGH and baste chicken wings on both sides with bourbon bbq sauce. Cook wings for 5 minutes, then flip them over and cook 3-5 minutes on the other side.
Select SHUT DOWN on smoker and remove chicken wings to a foil or parchment lined plate or baking sheet. Let rest 5-10 minutes. Turn smoker off and unplug it.
Eat wings as is, or brushed with additional bbq sauce. Dip in blue cheese or ranch dressing and serve with celery and carrots for a traditional experience.