Preheat oven to 350°F. Cook bacon in heavy large ovenproof pot over medium heat until crisp. Using tongs, transfer to paper towels to drain. Crumble bacon and reserve. Add onion to drippings in pot and saute until almost tender, about 5 minutes. Add dry mustard and thyme and stir 1 minute. Mix in ketchup, vinegar, molasses, 1/3 cup water, bay leaf and all beans. Season with salt and pepper.
Cover pot and bake bean mixture 45 minutes, stirring occasionally and adding more water if mixture seems dry. Mix bacon into beans. Bake 15 minutes longer. Discard bay leaf. Mix in hot pepper sauce and serve.