Preheat your grill to medium-high heat. Slice the onions into thick slices. Brush both sides with olive oil.
Grill the onions until they have grill marks and start to soften.
Put the onions on a piece of tin foil on a baking sheet. Sprinkle the tops of the onions with panko crumbs and blue cheese. Season well with salt and pepper.
Put the onions under the broiler until the cheese melts and the crumbs start to brown.