You can boil the pelmeni straight from frozen, which is nice because that way you don't have to wait for them to thaw. Trust me, they taste and feel exactly the same. So first thing to do is to get a pot of salted water boiling. It takes my pelmeni 10 minutes to cook from frozen which is about how long it takes to make the sauce. But follow the instructions on your package.
In a large saucepan on medium high heat add the chopped bacon. As the fat renders and the bacon begins to cook, add the chopped shallot. Let the shallot cook and soften in the bacon fat. If the bacon did not render enough fat, you can always add some butter, but I've never needed to.
When the shallot begins to get translucent you can turn the heat to medium and add the cream. Mix everything up right away so nothing burns. Add all the seasonings except salt.
When the pelmeni is done boiling, remove them from the pot with a slotted spoon and put them directly into the sauce. This method should bring enough pasta water with it, which is also how we are salting the sauce. Toss the pelmeni in bacon cream sauce until everything is coated. Crumble in the feta cheese, taste for salt, then give everything another good toss. Plate and serve.