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For the dressing: In a blender, combine the lemon juice, vinegar, capers, salt and garlic. Blend until smooth. Add the Worcestershire, hot sauce, anchovies and 1/2 cup of the olive oil and blend until smooth. Taste for seasoning. Add the remaining olive oil if needed. Set aside.
In a large bowl, toss 4 of the romaine halves in a little olive oil and season them with salt. Put them in a single layer on the grill and cook for 3 minutes. Turn and cook on the other side for 3 additional minutes; the romaine should feel slightly warm and tender. Transfer the halves to a large platter. Spoon a little dressing on each.
Top the grilled romaine with some of the chopped, dressed romaine. Garnish with crumbled blue cheese and serve immediately.