Drain pickle spears and use a paper towel to pat dry any excess moisture. Wrap each pickle in a slice of cheese, then wrap each cheese-wrapped pickle in an egg roll skin. Seal well, using a bit of water on the edges.
Fill fryer to appropriate level and set temperature to 350ºF.
Working in batches, fry pickles until golden brown and crispy on all sides, about 2 to 3 minutes. Transfer to a plate lined with a paper towel and let cool slightly. Slice in half crosswise and serve with Sriracha ranch dipping sauce.