Preheat the grill to medium-high. Combine the mayonnaise and cheese in a bowl; season with Worcestershire, Tabasco, salt and pepper. Keep in the fridge until steaks are ready. Heat the oil in a skillet over medium heat. Add the onion and cook until tender. While this occurs, season the steaks with salt and pepper and grill to desired doneness. Warm the baguette pieces on the grill a few seconds. Spread bottom pieces with blue cheese mayo and top with lettuce. Set on the steaks and then the onions. Set on the top pieces of bread and serve.