Heat the olive oil in a large skillet over medium-low heat. Add the onions and cook until soft and translucent about 15 minutes or more.
Add the sugar, red wine vinegar and water and cook until the liquid is reduced completely and the onions are caramelized, about 20+ minutes. Set aside.
Butter the outside of each slice of bread and arrange, butter side down, on a sheet pan. Put 1 piece of Taleggio onto a slice of the buttered bread, then a piece of Gorgonzola. Top with a heaping tablespoon of the onion jam, and another slice of the Taleggio. Cover it another slice of bread.
Heat a large skillet over medium-low heat. Put the sandwiches into the skillet and cook until the bread is toasted and golden and cheese is melted, about 4 minutes per side. Slice each sandwich in half and serve.