Preheat the oven to 400 degrees F
Place the bacon in a large saute pan and cook until crispy, about 5 minutes. Remove the bacon with a slotted spoon and reserve 1 tablespoon of the bacon fat in the pan. Add the mushrooms and cook until caramelized, about 5 minutes. Set the mushrooms aside to cool in a bowl.
In a large bowl, combine the beef, shallot, black pepper, salt, and Worcestershire. Separate the mixture into 4 equal portions. Divide each portion into 2 separate patties.
Combine the cheese into the cooled mushrooms and bacon mixture. Take 1 patty and top with 2-ounces of the filling. Place another patty on top and pinch around the edges to make sure that the filling is totally covered. Make the rest of the patties the same way.
Over medium-high heat, heat a large skillet with grapeseed oil. Once hot, add the burgers and cook for 2 minutes per side. Place the pan into the oven and cook for 4 to 6 more minutes for medium burgers.
Remove from the oven and serve on a sesame seed bun.