Preheat the oven to 350 degrees F. Heat a grill pan over medium-high heat.
Mix the mayonnaise, horseradish and a pinch of salt and pepper together in a small bowl. Set aside.
Brush the onion slices with the oil, then lay them on the grill. Cook the onions, turning a few times, until golden and soft, about 15 minutes. Meanwhile, add the kielbasa and cook, turning, until well charred on the outside and hot, about 10 minutes. Transfer both to a cutting board and cover loosely with foil to keep warm.
Saute, fry or grill the pierogies according to package directions.
Spread 1 tablespoon of the horseradish mayo on the bottom of each bun, and set on a baking sheet. Cut the kielbasa into eight pieces and put two pieces on the bottom half of each bun. Top evenly with the pierogies, cheese and onions. Place in the oven to melt the cheese, about 5 minutes. Spread the remaining horseradish sauce on the bun tops, and place each top over the melted cheese. Thread an olive onto each skewer and press two skewers into each sandwich to keep them together. Slice the sandwich in half, leaving a skewer on each side. Serve.