Form the burgers. Form the burgers into 4 burger patties, lightly working the meat together. Make a small indent with your thumb in the middle of the burger. Season with salt and pepper on both sides. Set aside.
Roast the Cherry Tomatoes. Pre-heat the oven to 425 degrees Fahrenheit. Place the cherry tomatoes and garlic coves in an oven safe dish and drizzle with olive oil, salt and pepper and toss to coat evenly. Roast for 25-30 minutes until tomatoes and garlic soften. The remove and set aside.
Saute the Onions. In a large skillet, drizzle with olive oil and add the butter and place over medium heat. Once the butter has melted, add the sliced red onions and cook until the onions begin to soften, about 8-10 minutes.
Add the Mushrooms. Next add the sliced mushrooms and continue cooking for another 5-7 minutes until the mushrooms begin to soften. Pour the red wine in and let the wine reduce for 2-3 minutes. Stir the onions and mushrooms together and season with salt and pepper.
Grill the Burgers. Cook the burgers on medium-high grill for 4-5 minutes on each side or until desired doneness. Top with blue cheese for the last minute then transfer to a plate to rest for a few minutes. While burgers rest, grill inside of burger buns.
Make the Burger Sauce. In a bowl, mix the mayonnaise, ketchup, horseradish and sriracha until well combined.
Assemble the Burgers. Spread a tablespoon of spicy burger sauce on the bottom bun, then layer the burgers with the cherry tomatoes, blue cheese burger and top with caramelized onions and mushrooms.