The entire exchange is a phrase soup consisting of pseudo-jargon and confusing metaphors.
All references go to sex and money. The conversation appears to be happening while the couple are having sex. Hence, the "you are (my lover)".
"First Lover in the nighttime" is a coarse reference to the courtesy title normally awarded to spouses of higher government dignitaries.
Some users are suggesting that "bacon" is an indirect reference to policeman: that is totally believable. "Pig" (as a euphemism for police) has been re-appropriated by the very agencies that once found it a slur.
However, in this case it is double entendre, and given the context, the obvious meaning is more crude and sexual in intent:
It is a reference to...
to have sex with a person.
-The On-Line Slang dictionary
In this case,
to have sex with a policeman
On the other hand, we also have the saying to
Writers of these types of programs can spend hours discussing nuance after nuance, but normal conversation does not usually achieve that level of "witty repartee".