My concern is pragmatic: does the grease come off the bacon and into the vodka?
If so, gross.
If you then chill the vodka, you could get rid of any bacon fat I would think. And that would be the most interesting piece of bacon you’d ever eat.
If so, gross.
One of the methods for infusing bacon flavor is to pour warm bacon drippings into a bowl with the vodka (or bourbon, etc.) and stir. The grease floats to the top, so you can chill the bowl and lift off the fat before pouring into a storage bottle. Not the best method (I tried it); the prominent flavor wasn't bacon-y. More like the fat from a pork roast. I ended up using that bottle to soak the barbeque charcoal before lighting - waste not, want not.
The correct way is to fry up a pound of bacon, drain it, then soak it in the spirit for a week or two. That method pulls out the smoked, salty meat flavor and minimizes the greasy taste.