1. Preheat oven to 425 degrees F. Spray small roasting pan or rimmed cookie sheet with nonstick spray.
2. Melt butter in large skillet. Sauté the onion, mushrooms, garlic and parsley, just until mushrooms are softened.
3. Make a slit down the middle of the tenderloin (without cutting it into two pieces) and stuff mushroom mixture inside. Sprinkle the blue cheese over the mushrooms. Pull the slit closed and secure with toothpicks.
4. Brush the tenderloin with melted butter and bake 30 to 40 minutes, or until desired degree of doneness is obtained. Slice into 6 portions and serve immediately.