Heat butter or coconut oil in a large skillet to medium high heat. Add onion, and cook for 15 minutes, stirring often.
Meanwhile, heat a separate oven safe skillet to medium heat. Add Ball Park Steaks Burgers, and cook until heated through, about 5 minutes per side. Add a cheese slice to each burger and transfer to the broiler. Cook until melted.
While the burgers and onions are cooking, make the Horseradish Mayo by combining the mayonnaise, horseradish, lemon juice, Worcestershire sauce and black pepper in a small dish. (May be made ahead; Refrigerate until ready to use.)
Spread desired amount of Horseradish Mayo on each bun. Place the burgers on the bottom bun and top with onions and cheese.
Note: You won’t need all of the Horseradish Mayo for these four burgers. Feel free to half the recipe - I like to keep it on hand for other uses.