Heat the olive oil in a large skillet over medium-low heat. Add the sliced onions and cook, stirring occasionally, until soft and deeply golden, about 25 to 30 minutes. Set aside to cool.
Preheat a smoker to 250°F. In a large mixing bowl, combine the ground beef, panko, egg, milk, Worcestershire sauce, salt, black pepper, and smoked paprika. Mix gently until just combined.
Fold the cooled onions and crumbled blue cheese into the meat mixture. Shape it into a loaf and place it on a piece of parchment paper or a suitable smoker-safe tray.
In a small bowl, stir together the BBQ sauce and brown sugar. Brush about half of the glaze over the meatloaf, reserving the rest for later.
Smoke the meatloaf until its center reaches 160°F, checking with an instant-read thermometer. Brush on the remaining glaze during the last 20 minutes of cooking.
Remove the meatloaf from the smoker and let it rest for 10 minutes before slicing. This helps the slices stay intact and gives the cheese time to settle.