Make the bacon jam: Cook the bacon in a large skillet over medium heat until crisp, 8 to 10 minutes. Remove to paper towels; pour off all but 3 tablespoons drippings from the skillet. Add the canola oil to the skillet and heat over low heat. Add the onion; cover and cook 10 minutes. Uncover and cook, stirring occasionally, until very soft, 10 to 15 more minutes. Return the bacon to the skillet; add the white wine vinegar and thyme and season with salt and pepper. Set aside.
Make the secret sauce: Pulse the mayonnaise, ketchup, sherry vinegar, Sriracha and garlic in a food processor until smooth; season with salt and pepper.
Make the burgers: Preheat a grill to medium high and brush the grates with vegetable oil. Form the beef into six 1/2-inch-thick patties; season with salt and pepper. Grill 5 minutes; flip and brush with the mustard. Grill 5 more minutes for medium rare, topping with the cheese in the last minute. Spread the sauce on the bottom buns; top with the burgers, bacon jam, pickles and top buns.