Heat the grill.
Cut onion into 6 to 8 wedges, stopping 1/2-inch short of the bottom. Do not cut through to the bottom - leave bottom intact.
Cut out a piece of aluminum foil.
Place onion on foil and slowly open up the onion a bit, pulling the wedges apart.
Drizzle onion with olive oil.
Season with salt and pepper.
Add cheeses in the open center of the onion.
Drizzle the entire onion with sauce.
Wrap it up tightly and grill for 30 to 35 minutes, or until onion is tender.
Remove from grill and slowly open up the foil.