Using a sharp paring knife, cut the top off the onions and then cut a cavity inside, being careful not to cut through the walls or bottom.
Chop the onion that was removed from the top and center.
In a skillet over medium heat, add the bacon and cook until crispy, remove from the pan. Then add the butter, chopped steak and onion and cook just until browned. Add the bbq sauce to the skillet and stir everything together. Divide the meat mixture evenly among the onions.
Season with salt and pepper.
Set up the grill for indirect grilling and preheat to medium. Place a large drip pan in the center of the “indirect heat” zone you’re going to be cooking on.
Form 4 rings out of tinfoil and place those on the drip pan. Set the onions on the rings so they won’t topple over. Cover the grill. Cook until the onions are golden brown and tender, 40 to 60 minutes, depending on size.
Note: If the filling is browning too much and the onions are not done yet, tent them with foil. To check for doneness, gently squeeze the side of the onion. It should be squishable and soft.
For the sauce, combine mayonnaise, ketchup, horseradish, garlic, smoked paprika, oregano, salt and pepper. Mix until well combined. Cover and refrigerate at least 30 minutes before serving.
Transfer the grilled onions to a platter or plate to serve with the sauce.