Add all the blue cheese sauce ingredients together into a medium bowl. Using a fork mash up the blue cheese into the other ingredients and then combine together until smooth. Add more salt and pepper, if needed.
For the sliders:
Preheat oven to 350 degrees. Spray a 12 muffin pan with nonstick spray. Grab rolls and slice in half horizontally. Place the bottom halves in their own mold of the muffin pan. Set aside.
Air fry or bake chicken nuggets according to package instructions. Place cooked nuggets in a large bowl with buffalo sauce. Toss together to coat them. Place one nugget on the bottom half of each roll. Top with the other half of the roll.
Bake until the bun is toasted, about 8 minutes. Remove from oven and let cool for 5 minutes. Using a spoon, remove slider from the pan and place onto a serving platter. Remove the top bun and spoon blue cheese sauce over the chicken nugget. Replace the top bun. Serve immediately.