Cut a lengthwise slit, about 1/2 inch deep, in each knockwurst. Cut cheese into five 2-1/2x1/2x1/4-inch strips. Insert a cheese strip and a scant 1 tablespoon green onion into each slit. Wrap a slice of bacon around each knockwurst; secure with wooden toothpicks.
For a charcoal grill, arrange medium-hot coals around a drip pan. Test for medium heat above pan. Place knockwurst, cheese sides up, on grill rack over drip pan. Cover and grill for 8 to 10 minutes or until bacon is crisp and cheese melts. (For a gas grill, preheat grill. Reduce heat to medium. Adjust for indirect cooking. Place knockwurst on grill rack over the burner that is turned off. Grill as directed.)
Remove and discard toothpicks from knockwurst. Serve knockwurst in rolls. If desired, top with ketchup, mustard, pickle relish, and/or additional bacon.