In a medium bowl, season the beef with a little salt and pepper; mix in the grated onion, Worcestershire sauce and horseradish. Form the beef into 4 large, thin patties to fit the size and shape of the bread.
In a medium skillet, heat 2 tablespoons of the oil, two turns of the pan, over medium heat. Add the sliced onion and cook, stirring occasionally, until golden brown, 12-15 minutes. Transfer the onions to a plate. Wipe out the skillet and add the sauerkraut. Reduce the heat to low and stir until the sauerkraut is warm, about 2 minutes.
In a large skillet, grill pan or griddle, heat the remaining 1 tablespoon oil over medium-high. Add the patties and cook to desired doneness, 2-3 minutes per side for medium; transfer to a plate.
Clean the pan and heat it over medium. Butter one side of the rye bread slices. Build burgers with the bread slices, buttered sides out, layering with griddled onion, cheddar, patties, Swiss cheese and sauerkraut. Grill or griddle until the bread is golden brown and the cheese is melted, about 2 minutes per side. Cut in half and serve with pickles and mustard.