Make the onion roll: thinly slice the onions into rings. Sprinkle the grated cheese onto a parchment-lined baking tray. Spread the onions on top, brush with oil, and season with paprika and salt. Bake at 200C (top/bottom heat) for approx. 30 minutes, until golden brown. Let cool.
Filling: fry the ground beef in oil until crumbly; season with salt and paprika. Slice the pickles and finely shred the lettuce.
Sauce: mix all the sauce ingredients and season to taste.
Assemble: flip the onion sheet over (onions facing down). Place the cheddar in the center and spread the ground beef over it. Bake again for 5-10 minutes. Top with lettuce, pickles, and sauce, then roll up and slice.