PREHEAT grill to medium heat. Place chicken, smooth-sides down, on cutting board. Top each evenly with 1 ham slice, red pepper slices and scallions. Roll up tightly.
CUT each roll into 4 slices. Skewer each slice onto wooden skewer, leaving some space in between for even grilling. Mix mayo and ground red pepper in small bowl; reserve 2 Tbsp. for dipping. Brush chicken with remaining mayo mixture.
GRILL chicken 12 to 15 min. or until chicken is cooked through (170°F), turning every 4 min. Serve with reserved 2 Tbsp. dipping sauce.