Preheat a grill or grill pan. While it's heating, combine the blue cheese, yogurt, and lemon juice, plus a pinch of salt and pepper. Stir to combine, and set aside. Season the chicken breasts with salt, pepper, and the chili powder. Add the chicken to the hot grill and cook for 4 to 5 minutes the first side, then flip. Add the onions to the perimeter of the grill (if using a grill pan, you'll need to wait until you remove the chicken to grill the onions). Cook the chicken until firm and springy to the touch, another 4 to 5 minutes. Remove, along with the grilled onions. Combine the hot sauce and butter and brush all over the chicken after removing from the grill. Place one large leaf of romaine on the base of each bun. Top with a chicken breast, the blue cheese sauce, grilled onions, and then the top half of the bun.