Preheat oven to 500 degrees.
Heat oil in cast iron skillet over high heat.
Add steak, drizzle with Worcestershire and sear for 1 minute on each side.
Transfer steaks to oven and cook for an additional minute or two on each side, until desired doneness; place them on a plate and cover with aluminum foil.
Place skillet back on stove over medium low, add 1/4 stick salted butter and onions. Add salt and caramelize for about 3 minutes; then add Black Pepper sauce. Continue to stir until onions are translucent. Remove onions from pan and cover, but keep heat on.
Add 1/2 stick butter and flour, whisking until thick (won't take long), then add milk, blue cheese, Worcestershire sauce and cayenne. Whisk until thickened, salt and pepper to taste and remove from heat.
Cut steak to fit slider buns; assemble by placing steak on bottom portion of slider bun, followed by onions and blue cheese sauce.