Preheat oven to 375 degrees. In a small skillet, heat oil over medium; add onion and cook until softened, about 5 minutes. Add tomato paste and cook, stirring constantly, until brick-red in color and fragrant, 3 minutes. In a large bowl, combine beef, onion mixture, crackers, cheese, eggs, horseradish, Worcestershire, salt, and pepper.
On a parchment-lined baking sheet, use your hands to form mixture into a 9-inch loaf. Bake until cooked through, about 40 minutes. Let rest 15 minutes before cutting into thick slices. To serve, place meatloaf slices between bread, topped with lettuce, pickles, and ketchup.
This recipe makes enough for 8 sandwiches, but you can also serve any leftovers with mashed potatoes.