Heat the olive oil in a large skillet over medium-low heat. Add the sliced onion and cook, stirring occasionally, for 20 to 25 minutes until soft and golden. Transfer the onions to a plate.
Add the chopped mushrooms to the same skillet. Cook over medium heat for 6 to 8 minutes, stirring often, until their moisture has evaporated. Transfer them to the plate with the onions and let both cool.
Preheat the pellet smoker to 250°F. In a mixing bowl, combine the bison, egg, breadcrumbs, milk, Worcestershire sauce, smoked paprika, salt, and black pepper. Add the cooled mushrooms and onions. Mix gently just until combined.
Shape the mixture into a compact loaf on a small rimmed pan. Spread the ketchup evenly over the top.
Place the pan in the smoker and cook until the center reaches 160°F on an instant-read thermometer, about 1 1/2 to 2 hours. Let the meatloaf rest for 10 minutes before slicing so it holds together and stays moist.