In med bowl, mix together onion, garlic, parsley, mint, mustard, horseradish, Worcestershire, salt, cumin, pepper, and egg. Add lamb and mix well with hands.

Shape lamb mixture into 4 patties. Press 1 T blue cheese into center of each patty. Roll into balls, then flatten into 3x1-in patties. Transfer to plate and refrigerate uncovered 30 min - 2 hrs.

Heat large cast-iron skillet over med heat, then add butter and canola oil. Place cold pattied in skillet and cook until browned on both sides and cooked thru. 4-6 min per side for med-well.

Place burgers on buns and layer with lettuce, red onions, and tomatoes.