Stir together shallot, mayonnaise, ketchup, baby dill pickles, lemon juice and Worcestershire sauce in small bowl. Cover and refrigerate until needed.
Place frozen burgers on greased grill; close lid. Cook, turning once, until instant-read thermometer reads 160°F (71°C) when inserted sideways into burgers; about 10 to 12 minutes.
Meanwhile, place red onion on greased grill and close lid. Cook, turning once, until grill-marked; about 6 to 8 minutes. Place buns, cut sides down, on greased grill and close lid. Cook until light golden; about 1 to 2 minutes.
Divide lettuce among bottom halves of buns. Top with burgers, shallot mixture, red onion, tomatoes and sliced dill pickles (if using), dividing evenly. Sandwich with top halves of buns.