Prepare a charcoal or wooden grill for cooking.
Apply oil, salt, and black pepper on the Wagyu Zabuton steak.
Preheat the skillet on the grill for 2 minutes. Add salt, pepper, onions, soy sauce, and a splash of oil in the skillet and stir. Cook the onions for about 8-10 minutes.
While onions are cooking, place the steak on the grill and cook both sides till they turn brown for 3 minutes. Remove the steaks and onions from the grill and let them cool for about 10 minutes.
Place the bread on the grill and cook for about 30 to 60 seconds. In a bowl, thoroughly mix horseradish and sour cream and set it aside.
On one half of the bread roll, add horseradish sauce, onions, steak, and top with the other half of the roll.
Wagyu Zabuton steak sandwich is ready to serve.