Combine beef, egg, Worcestershire sauce, salt, pepper, milk, onion and bread crumbs. Mix well. Roll out on waxed paper into a rectangular shape about 1/2" thick. Sprinkle cheese and mushrooms on top of beef mixture. Roll lengthwise like a jelly roll by picking up edge of wax paper and allowing meat to roll over on itself. Bake at 350 for 10-15 minutes, then add blend of brown sugar, mustard and catsup. Finish baking until topping bubbles, about 30 minutes.