Cut onion top and "backtail" so onion can sit flat. Peel the onion. Using a parking knife cut a hollow cone-like shape into the center of the onion making sure not to go all the way to the bottom. Salt and pepper to the cavity. Place onions on individual squares of heavy duty aluminum foil.
Add the butter, bacon, blue cheese, and thyme to a bowl and mix until well combined. Add large dollops of the butter to each cavity of the onions. Fold the aluminum foil all around the onion, gathering at the top and sealing to create a tent.
Place on the grill over direct heat and cover the grill. Cook for 30 minutes until onions are soft. Let cool for 5 minutes before opening the foil packet and serving.