Heat a grill or grill pan over medium-high heat. Sprinkle the steak and onions with the lemon pepper seasoning and a good pinch of kosher salt.
Oil the grill well using half the olive oil, then cook the steaks until desired doneness, 4 to 5 minutes per side for medium-rare. Remove the steaks to a cutting board to rest, tented with foil, about 10 minutes. Add the rest of the olive oil to the grill and cook the onions until nice and charred, 4 to 5 minutes a side. Remove from the grill and set aside.
Meanwhile, wrap the bread in foil and place in the oven until hot and crisp, about 10 minutes.
Mix together the sour cream, mayo, horseradish, Worcestershire, black pepper and a good pinch of kosher salt in a bowl. Set aside.
Slice the steak and shingle it in the middle of a cutting board or serving platter. Break apart the onions and arrange on one corner of the board. Slice the bread and shingle along one side of the board. Use the lettuce, tomatoes and white Cheddar to fill in the holes. Sprinkle the steak with the green onions and sea salt and give the board a drizzle of olive oil. Place the bowl of dressing on the board.
Have everyone help themselves and make up a salad or a sandwich with whatever they like from the selection of items on the board.