Light a grill or preheat a grill pan. In a small bowl, stir the orange zest and juice with the mustard and olive oil; season with salt and pepper. Grill the asparagus over moderate heat, turning often, until they are just tender and the pancetta is crisp, about 5 minutes total. Transfer the asparagus to a platter and drizzle with the dressing. Sprinkle with the thyme and serve.
Tightly wrap each asparagus spear in a slice of pancetta and refrigerate until chilled, about 20 minutes.
