Remove the stems, split each pepper vertically, and remove the seeds.
On the stovetop, toast the chipotles in a dry skillet over medium heat until they soften and puff up.
Place the chipotles into a bowl, pour hot water over the peppers, and soak them for 15-30 minutes. Save the remaining soaking liquid.
Heat oil in a skillet over medium-high; use the same skillet used to dry toast the chipotle peppers.
Sauté the onion and garlic for 2-3 minutes or until softened and fragrant.
Pour in the tomato sauce, sugar, and salt.
Cook the sauce for 3 minutes or until thick enough to draw a line in the sauce with a spoon—stir occasionally.
Add the sauce to a food processor with the lemon juice and about 2 tablespoons of the reserved soaking liquid. Blend until smooth.
Pour the sauce through a fine mesh strainer to remove any solids. Press with a spoon or spatula to get as much sauce as possible.
Measure out ½ cup of chipotle sauce.
Preheat your Z-Grills (preferably with branded applewood pellets) or other wood pellet grill to 200 degrees Fahrenheit.
Combine the cereals, pretzels, Goldfish crackers, and peanuts in a large bowl.
Add the butter, brown sugar, chipotle sauce, corn syrup, and salt to a saucepan. Bring to a boil over medium-low.
Meanwhile, lightly grease an aluminum pan with oil.
Once the caramel mixture comes to a boil, reduce it to a simmer, and simmer for 2-3 minutes.
Add the baking soda and whisk until combined. The caramel will foam during this time.
Pour the caramel over the snack mix and toss to combine. Use as much as you like.
Transfer the pan to the grill grates, close the lid, and smoke for 35 minutes.
Remove from the grill, toss the Chex mix, and increase the heat to 300 degrees Fahrenheit. Close the grill’s lid and smoke for 10 more minutes.
Remove from the grill, allow the smoked Chex mix to cool, then separate it with a spoon or by hand.
Serve.