Preheat the oven to 375°F. On a wire rack set on a baking sheet, cook the bacon until crispy, about 20 minutes.
In a large skillet, melt butter over medium-high heat. Add the mushrooms and thyme, and cook, stirring, until the mushrooms brown, about 10 minutes. Add the shallots and cook, stirring, until slightly browned, about 2 minutes. Season with salt and pepper, add the stock and reduce the heat to low. Let the mushroom mixture simmer, stirring occasionally, until thickened, about 10 minutes.
In a large bowl, mix the beef, wine, onion, parsley, olive oil and Worcestershire, and form into 4 patties (thinner in the center for even cooking). Heat a large, cast-iron skillet over medium-high. Cook the patties until browned, about 4 minutes. Turn patties; cook 2 minutes. Top each with 2 slices of cheese. Tent the skillet with foil and cook until the cheese melts, about 2 minutes.
Divide the patties among the bun bottoms. Top with the mushrooms, bacon and the bun tops.