Heat a gas or charcoal grill for direct, medium-high heat grilling. (alternatively, set a grill pan over medium-high heat)
Rub the corn with the oil. When the grill is hot, add the corn and grill on all sides until charred and slightly cooked, 8 to 10 minutes. Remove from heat and let cool slightly.
Cut the corn kernels from the cob into a large bowl. Add the cotija, onion, cilantro, and jalapeƱo and stir to mix. In a small bowl, whisk together the mayonnaise, smoked paprika, cumin, salt, and pepper. Add to the corn and mix to coat. The salad can be served right away but will keep, refrigerated, for up to a day. Servie with lime wedges and hot sauce.