Preheat the oven to 375 degrees . Bake the bacon on a broiler pan until crisp, 15-18 minutes. Preheat a cast-iron skillet or griddle pan over medium-high heat.
Season the steaks liberally with salt and pepper. Drizzle the pan with oil, add the steaks and cook, turning once, until medium-rare, 8-10 minutes. Let stand for a few minutes, then thinly slice on an angle.
While the steaks are cooking, in a small saucepan, combine the ketchup, consomme (or stock), celery, worcestershire, horseradish and hot sauce; season with pepper. Bring to a boil, lower the heat and simmer for a few minutes to thicken.
Place the roll bottoms on a baking sheet. Top with the steak, sauce and cheese. Broil until melted. Toast the roll tops. Layer the clubs with bacon, lettuce, tomato and roll tops. Pass extra sauce at the table.