In a skillet over medium heat, brown the ground beef with the onion, crumbling it as it cooks. Drain any excess fat.Season with salt and pepper.
Turn off the heat and cool for 20-30 minutes to room temperature.
Mix the mayo, ketchup, and mustard in a bowl and set aside.
Once the beef mixture is cool, stir in the cheese and pickles.
Preheat the oven to 400°F. Line a baking sheet with parchment paper.
Place a spoonful of the mixture on one side of an eggroll wrapper. Fold over the sides and roll tightly.
Use your finger to run a little bit of water along the seam, then it against the roll to seal.
Place the rolls, seam-side down on the baking sheet. Spray with oil.
Bake for 17-20 minutes, until golden and crispy. Serve with the sauce.