COMBINE olive oil, salt, and ½ teaspoon black pepper in a small bowl. Centre half of the mushrooms and onion on a sheet (12x18 inches) of ALCAN® Heavy Duty Aluminum Foil. Drizzle with half of the olive oil mixture. Bring up foil sides. Double-fold top and ends to seal packet, leaving room for heat circulation inside. Repeat to make two packets.
LINE a baking sheet with ALCAN® Heavy Duty Aluminum Foil. Mix the beef, Worcestershire sauce, and ½ teaspoon black pepper in a large bowl until combined. Shape beef mixture into eight thin, 4 inch diameter patties on the prepared baking sheet. Place 1 tablespoon of the blue cheese onto the center of four patties. Top with the remaining four patties; pinch edges to seal.
TRANSFER burgers on the foil and the foil packets to the rack of an uncovered grill directly over medium-high heat and grill for 10 minutes or until burgers are done (160˚F) and vegetables are tender. Toast cut sides of hamburger buns during the last minute of grilling.
OPEN packets carefully by cutting along top fold with a sharp knife, allowing steam to escape; then open top of foil packet.
SERVE burgers on buns with grilled vegetables and lettuce and/or tomato slices, if desired.