In a medium skillet over medium heat, cook the ground beef with mustard, ketchup, and Worcestershire sauce. Season with salt and pepper and cook until no longer pink, about 8 to 10 minutes. Remove from heat and drain.
Place an egg roll wrapper on a clean surface in a diamond shape, then place a folded slice of cheese in the center. Top with approximately 3 tablespoons of cooked beef and some pickles. Fold up the bottom half and tightly fold in the sides. Gently roll, then seal the fold with a couple of drops of water.
In a large skillet over medium heat, heat oil (enough to reach about 1 inch up the side of the pan) until it starts to bubble. Add egg rolls and fry until golden, about 1 minute per side. Transfer to a paper towel-lined plate and immediately sprinkle with sesame seeds.
Make the sauce: In a small bowl, whisk together mayonnaise, mustard, ketchup, vinegar, and paprika until smooth. Serve with the egg rolls for dipping.