Add the bacon to a nonstick skillet and saute over medium heat until crisp. Transfer the bacon to a plate and set aside. Add the garlic, onions and bell peppers. Cook, stirring occasionally, until the vegetables are tender, about 8 minutes.
Add the tomatoes, wine, yogurt, hot sauce and salt, and bring to a boil, stirring constantly to scrape the browned bits from the bottom of the pan. Reduce the heat and simmer, uncovered, until the flavors are blended and the sauce begins to thicken, 6 to 8 minutes. Return the bacon to the skillet. Add the shrimp and cook until the shrimp turn bright pink and are cooked through, 1 to 2 minutes.
Meanwhile, in a heavy cast-iron skillet, add your polenta and allow it to toast for about a minute. Add the hot water and slowly whisk the polenta and water together. Reduce the heat and simmer until thickened, about 5 minutes. Remove from the heat.
Serve the shrimp mixture over the polenta. Sprinkle with the chives if desired.
If your Canadian bacon doesn't render enough fat to saute your vegetables, add a teaspoon of olive oil.