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Put oven rack in middle position and preheat oven to 350°F.
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Cook shallot in oil with salt and pepper in an 8-inch skillet over moderate heat, stirring occasionally, until golden, 2 to 3 minutes, then transfer to a bowl. Add turkey and mix gently but thoroughly.
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Turn out turkey mixture onto a sheet of wax paper and divide into 8 equal mounds. Pat 1 mound into a 4-inch patty and top with 1 piece of cheese, then put a second mound on top, patting it onto other patty to enclose cheese. Pinch edges together to seal and shape into a single patty. Make 3 more burgers in same manner.
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Heat an oiled well-seasoned ridged grill pan over moderately high heat until hot but not smoking, then grill burgers, turning over once, until just cooked through (no longer pink), 8 to 9 minutes total.
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While burgers are cooking, heat rolls on a baking sheet in oven until crusty, about 5 minutes. Transfer rolls to a rack to cool slightly.