Arrange the mushroom caps on a baking sheet with the cavity-side facing upwards.
Drizzle the olive oil over the mushroom caps.
Mix the sausage, blue cheese, Worcestershire sauce, balsamic vinegar, garlic, lemon juice, salt, and pepper in a bowl. Fill the mushroom caps with the sausage mixture.
Bake in the preheated oven until the sausage is no longer pink, about 60 minutes.