Preheat the BBQ to a moderate heat. To make the hamburger patties, mix together the minced beef, rolled oats, tomato sauce, mustard and pepper in a large bowl until well blended. Divide the mixture into eight equal portions then flatten into thin patties.
Place a quarter (about 1 tablespoon) of the crumbled cheese in the centre of each of four patties. Top each with one of the remaining patties then press the edges together to seal completely so you have four fat patties.
Barbecue the patties for 5–6 minutes on each side until nicely browned and cooked through.
Meanwhile, split the rolls and lightly toast them. Serve the burgers hot in the rolls, filled with lettuce and slices of tomato and onion.
Stilton is a good blue cheese to use here. Alternatively, use Gruyere, Swiss or cheddar.