In a small bowl, combine the ketchup, mayonnaise, vinegar and Worcestershire sauce; season with salt and pepper.
Preheat a grill pan to high. Preheat the oven to 375 degrees . Arrange the bacon on a parchment-paper-lined rimmed baking sheet and bake in the oven until crisp, 30 to 35 minutes; drain. Finely chop, then transfer to a medium bowl.
Meanwhile, in a large skillet, heat the oil over medium heat. Add the onion and cook, stirring occasionally, until softened and golden-brown, 15 to 20 minutes; season with salt and pepper. Add to the bacon.
In a large bowl, combine the ground beef and mustard; season with salt and pepper. Shape into 4 patties. Grill, turning once, for about 10 minutes for medium; during the last 2 minutes of cooking, top each patty with a cheese slice. Place each patty on a roll bottom, then top with some of the onion-and-bacon jam, ketchup-mayo sauce, pickles and a roll top.