Combine blue cheese, yogurt, lemon juice and salt and pepper. Stir and set aside.
Preheat grill to medium-high. Season each turkey fillet with salt, pepper and chili powder. Place turkey fillets on the grill. Cook for 5 minute on each side. Continue cooking until the internal temperature of the turkey reaches 170°F (77°C).
As the turkey is cooking, grill onions in a grill pan.
Combine butter and hot sauce.
Serve each turkey fillet on a bun and top with butter mixture, grilled onions, lettuce and blue cheese mixture.
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