In a small bowl, combine the mayonnaise, blue cheese, horseradish and pepper; set aside. In a large skillet, saute onion in oil until tender.
Spread mayonnaise mixture over one side of each slice of bread. On four slices, layer one piece of cheese, two slices of roast beef, sauteed onion and another piece of cheese; top with remaining bread.
Spread butter over both sides of sandwiches. Cook on a panini maker or indoor grill for 2-3 minutes or until bread is browned and cheese is melted.