Preheat a grill for high heat. When the grill is hot, lightly oil the grate.
In a large bowl, mix together the ground beef, Worcestershire sauce, hickory seasoning, salt and pepper until well blended. Make 20 balls, and flatten into patties. On one half of the patties, distribute the onions, mushrooms, ham and cheese. Carefully cover the piles with the remaining patties, making sure to seal all of the edges of the patties together tightly and enclose the filling.
Grill the patties for 8 to 10 minutes per side, or until meat is well done, and cheese in the center is melted.