In a medium saucepan, reheat the short ribs in their sauce until warmed through. Transfer the ribs to a plate and bring the sauce to a boil. Remove from the heat and keep warm.
Light a grill or preheat a grill pan. Lightly brush the grate or grill pan with oil. Grill the onion over the cooler part of the fire until lightly charred, about 5 minutes per side. Transfer to a plate. Grill the ribs over a hot fire until browned, about 45 seconds per side. Transfer to a work surface and cut into thick slices; discard the bones. Cover with foil. Toast the rolls on the grill or in the grill pan.
In a bowl, combine the mayonnaise and horseradish; season with salt and pepper. Spread the rolls with the mayonnaise, top with the onion and short ribs and drizzle with sauce. Serve with the remaining sauce on the side.
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