Peel and finely chop the onion. Chop the capers. Wash the parsley, remove the leaves and chop into small pieces. Place the hamburger in a bowl along with the onion, capers, Worcestershire sauce, parsley and mustard. Season with salt and pepper, then blend in the egg yolk. Refrigerate 20 minutes to firm up the mixture. Split into 4 pieces and roll them into balls. Make a small hole in each and put a piece of Roquefort cheese into each hole. Cover the hole, flatten and grill as long as desired.