Light 1 side of grill, heating to 350° to 400° (medium-high) heat. Combine first 2 ingredients and 1 tsp. salt. Cut off chicken wing tips, and discard; cut wings in half at joint. Toss wings with oil. Sprinkle chicken with pepper mixture, and toss.
Arrange wings over unlit side of grill, and grill, covered with grill lid, 18 to 20 minutes on each side or until done.
Meanwhile, melt butter in a saucepan over medium-high heat; add onion and garlic, and sauté 5 minutes or until tender. Reduce heat to medium. Add vinegar, next 5 ingredients, and remaining 1 tsp. salt. Cook, stirring occasionally, 10 to 12 minutes or until bubbly.
Transfer wings to a clean bowl; add half of butter mixture, reserving remaining mixture. Toss wings gently to coat. Place wings on lit side of grill. Grill, covered with grill lid, 10 minutes or until browned, turning occasionally. Toss wings with reserved butter mixture. Serve with Blue Cheese Sauce.