Preheat your oven to 375 F. Line a rimmed baking sheet with aluminum foil, and spray a wire rack with nonstick cooking spray. Place the wire rack over the aluminum foil; set aside.
In a large bowl, combine ground beef, egg, pickles, ketchup, mustard, liquid smoke, onion powder, salt, and pepper. I just use my hands to mix it.
Add the bread crumbs and cheddar cheese, and mix until incorporated. Again, I just use my hands to mix it.
Using a medium cookie scoop (1 ½ tablespoons), scoop out meatballs.
Roll into balls, and place on wire rack.
Bake for about 15-20 minutes, or until done in the center.
While the meatballs are baking, make the fry sauce.
In a small dish, stir together mayonnaise, ketchup, and pickle juice.