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Preheat the grill. Preheat your grill for direct heat grilling to 425-450 degrees F.
Season the pork. Sprinkle about a teaspoon and a half of the sweet BBQ rub on all sides of the pork tenderloin and rub lightly to ensure even coverage.
Make a pocket in the tenderloin. Using a sharp knife, start about an inch from the end of the tenderloin and carefully cut a slit lengthwise into the pork tenderloin, stopping an inch from the other end. Cut down as deep as you can but, do NOT slice all the way through the bottom of the tenderloin.
Stuff the pork with apple pie filling. Spoon the apple pie filling into the slit you cut into the tenderloin. You may have a little bit of the pie filling left behind depending on the size of your tenderloin.
Wrap with bacon. Starting at one end, slowly wrap the stuffed tenderloin with bacon. Wrap the strips so the edges just barely overlap, creating a nice seal for the apple pie filling. Secure the ends of the bacon with toothpicks. Sprinkle the exterior with the remaining sweet BBQ rub.
Grill the bacon wrapped pork tenderloin. Carefully transfer the wrapped tenderloin to the grill. Grill on each side for 3-4 minutes, flipping only a quarter turn each time. Try not to flip more than once per side to help keep things together.
Rest and serve. Once your pork reaches an internal temperature of 145 degrees F and the bacon is crisp, remove to a cutting board and allow the tenderloin to rest for 8-10 minutes before slicing and serving.