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Form 2 ounces of the mixture onto each skewer, skewering three-quarters of the way through. Place the skewers onto a baking sheet and refrigerate for about 20 minutes.
Meanwhile, melt the butter in a small saucepan over medium heat. Add the hot sauce, honey and ketchup, stirring to combine. Bring to a simmer over medium heat and cook until slightly thickened, about 20 minutes.
For the dipping sauce: While the sauce is cooking, blend the mayonnaise, buttermilk, lemon juice and 2 ounces of the bleu cheese in a blender until smooth. Scrape the sauce into a medium bowl, stir in the remaining 2 ounces bleu cheese and sprinkle with salt and black pepper.
For cooking: Prepare a grill for direct heat grilling over medium-high heat. Brush the grill with a towel soaked in 2 tablespoons of the canola oil. Place the skewers on the grill and grill until slightly charred, about 2 minutes. Turn the skewers and brush with the butter-hot sauce. Continue to cook the skewers, turning and brushing with the sauce until cooked completely, about 5 minutes. Remove the skewers from the grill and brush with the additional sauce. Serve with the bleu cheese dipping sauce and garnish with more celery leaves.