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Sprinkle oysters with blue cheese and then add 1 teaspoon of Jerry's Winter Orange BBQ Sauce to each oyster. Place shucked oysters, bowl-side down, on the grill. Cook until the oyster meat goes from translucent to opaque and the sauce is bubbling vigorously in the shell.
Meanwhile, partially slice the baguette and brush with Jerry's Winter Orange BBQ Sauce. Place baguette on grill to toast.
Remove the toasted baguette and fill it with barbecued oysters, baby romaine leaves, sliced tomato, and salt and pepper, to taste. Serve warm.