For the special sauce: Whisk together the mayonnaise, ketchup, gherkins, sriracha and mustard in a small bowl until fully blended.
For the burgers: Preheat the oven to 400 degrees F.
Line a rimmed baking sheet with parchment paper. Set a rack on the baking sheet and lay the bacon on it in a single layer. Cook until crisp, 35 to 45 minutes, turning halfway through.
Meanwhile, heat the oil in a large saute pan over medium-high heat. When the oil shimmers, add the onions and cook, stirring frequently, until the onions are golden and caramelized, about 15 minutes.
In a medium bowl, gently mix together the meat, Worcestershire, 1/2 teaspoon salt and 1/4 teaspoon pepper. Divide the meat into 6 equal portions and form each into a ball. Take one of the balls in your palm and, using the thumb of your other hand, gently poke straight into it to just beyond its center. Gently create a small cavity in the ball by pinching the meat between your thumb from the inside and your forefinger on the outside, pressing outward with your thumb and using the forefinger to maintain the round shape from the outside. Take care to leave the meat at least 1/4 inch thick. Fill the cavity with 1 to 1 1/2 ounces of the blue cheese. Gently and carefully close the opening in the meat around the cheese, being careful to seal it fully. Gently press the sphere between your palms to flatten it a bit, being careful not to create any openings. Repeat with the remaining meat and cheese.
Preheat the broiler. Put the buns on a baking sheet with the insides facing up. Toast the buns until golden, 2 to 3 minutes.
Heat a grill to medium-high heat and oil the grill grates. When hot, add 2 to 4 burgers, leaving space to comfortably flip them, and grill 2 to 3 minutes on each side for medium. Repeat with the remaining burgers.
To assemble the burgers, arrange the bottom buns on a clean, dry work surface. Spread each with 1 to 2 tablespoons of the special sauce and then top with some of the caramelized onions, a burger, tomato slice, lettuce leaf, avocado slices, 1 slice of bacon, cut in half, and finally, the top of the bun slathered with more special sauce.