Heat a grill to high heat.
Place meatballs on grill and turn until done on all sides.
Combine the ketchup, water, brown sugar, vinegar, 4 tbs. Worcestershire sauce, ½ tsp. hot sauce and chili powder in a saucepan.
Bring to a boil, lower heat and cook for 20 minutes.
In a bowl mix together the mayonnaise, ¼ cup blue cheese, milk, ¼ tsp. hot sauce and the additional ¼ tsp. Worcestershire sauce, until smooth. Stir in the remaining blue cheese.
When the meatballs are done place them in a bowl and pour hot sauce over them. Toss to combine.
Spread some blue cheese sauce on the bottom half of a King’s Hawaiian sweet roll. Place meatball on top and top with other side of roll.