In a large skillet, cook ground beef and diced onions over medium heat until browned. Drain excess grease.
Stir in shredded cheddar cheese, pickles, ketchup, mustard, Worcestershire sauce, salt, and pepper. Remove from heat.
Lay an egg roll wrapper on a clean surface. Spoon about 2 tablespoons of the beef mixture into the center.
Brush the edges of the wrapper with beaten egg, then fold the sides over the filling and roll tightly to seal.
Heat vegetable oil in a deep pan over medium heat. Fry egg rolls until golden brown, about 3-4 minutes per side.
Remove from oil and drain on paper towels. Serve hot with your favorite dipping sauce!