Heat grill to medium heat.
Mix ground beef and bacon just until blended; shape into 8 (1/4-inch-thick) patties. Spoon 1 Tbsp. blue cheese onto center of each of 4 patties. Top with remaining patties; pinch edges together to seal.
Grill burgers 5 to 7 min. on each side or until done (160°F). Place rolls, cut sides down, on grill grate; grill 1 min. or until rolls are lightly toasted.
Mix mayonnaise and ketchup; spread onto cut sides of rolls. Fill rolls with burgers.