Drain your pickles and use a paper towel to pat off any excess moisture. Wrap each pickle in a slice of cheese and then wrap each in an egg roll skin. Seal it well, using a bit of water on the edges.
Pour 2 inches of oil into a large pot. Clip on a deep-fry thermometer and heat the oil over medium-high heat to 360ºF.
Working in batches, fry the pickles until golden brown and crispy on all sides, 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.