In a large skillet, cook bacon until crisp. Remove with a slotted spoon to paper towels. In the drippings, saute mushrooms and onion until tender. Transfer to a large bowl with a slotted spoon; add bacon.
In another bowl, combine the egg, Worcestershire sauce, seasoned salt, salt, pepper and horseradish; sprinkle beef over mixture and mix well. Shape into six 1/4-in.-thick patties.
Divide bacon mixture among three patties. Top with a cheese slice; fold in corners of cheese. Top with remaining patties; seal edges.
Grill, uncovered, over medium-hot heat for 5-6 minutes a side or until a thermometer reads 160° and meat juices run clear. Serve on buns.