Preheat the oven to 350 degrees F.
Heat a large skillet with the oil over medium heat and saute the onions until translucent. Remove to a large bowl and let cool.
Add all the remaining ingredients, except the cheese and BBQ sauce, to the bowl and combine well. Liberally spray a baking sheet with cooking spray Take half of the ground beef mixture and form into a loaf on the baking sheet.
Lay the strips of cheese on top of the meatloaf, then cover with the other half of the meat mixture. When finished it should look like a block of meatloaf.
Bake in the preheated oven until the internal temperature registers140 degrees F on an instant-read thermometer. This should take about 1 hour (but please check constantly as some ovens cook faster then others). About 5 minutes before the meatloaf is ready remove from oven and coat with the BBQ sauce. Return to the oven until nicely glazed.
Remove meatloaf from the oven to a cutting board and allow to cool. Cut the meatloaf into 1-inch thick slices and put each slice between 2 pieces of rye bread. At this point you can add, tomato, lettuce and pickle, if you like.
I like to heat a skillet up and fry the sandwich before serving.