Make the dipping sauce: To a small bowl, mix together the mayo, ketchup, Worcestershire sauce, smoked paprika, black pepper and garlic power. Cover and chill in the refrigerator while you make the cheeseburger egg rolls.
Make the egg roll filling: To a medium skillet, add the olive oil, ground beef, and onions. Cook over medium heat breaking up the ground beef into crumbles until the ground beef is no longer pink and the onions are soft - about 10 minutes.
Add in the salt, pepper, garlic powder, Worcestershire sauce, ketchup, pickles, bacon crumbles, and cheese, then stir until well blended and the cheese has melted. Let simmer for about 3 minutes, stirring occasionally, until the filling has thickened. Remove from heat.
Preheat air fryer to 380 degrees Fahrenheit and set the timer for 10 minutes.
Lay an egg roll wrapper out flat and rub some water on the outer edges. Add 2 tablespoons of the beef mixture to the middle of the wrapper. Roll the egg wrapper up folding the bottom corner over the beef, then fold the outer left and right edges in, and then roll up the egg roll. Watch my video or see pictures in my post above to see how I roll my egg rolls.
Brush the outside of the egg rolls with olive oil.
Add the egg rolls to the air fryer in a single layer and air fry for 8 to 10 minutes, until brown and crispy. Flip the egg rolls halfway through.
Remove the egg rolls from the air fryer, let cool, then enjoy with some dipping sauce.