In a skillet over medium heat, cook ground beef and diced onion until browned and cooked through. Drain any excess fat.
Stir in chopped pickles, shredded cheese, mustard, Worcestershire sauce, salt, and pepper. Mix until cheese melts and ingredients are well combined. Remove from heat and let cool.
Lay an egg roll wrapper on a flat surface and place a spoonful of filling in the center. Fold in sides, roll up tightly, and seal the edge with a beaten egg.
Heat oil in a deep pot or fryer to 350°F. Fry egg rolls in batches for 4 to 5 minutes until golden brown. Drain on paper towels.
Whisk together mayonnaise, ketchup, pickle relish, paprika, salt, and pepper to make the dipping sauce. Serve alongside warm egg rolls.
Notes
These egg rolls can be assembled ahead of time and frozen uncooked. They fry well from frozen with a few extra minutes of cooking time.