Combine the onion, oil, water, paprika and cumin, and blend well. Place on a 20" length of heavy duty foil. Securely wrap the mixture into a loose packet and refrigerate. Wrap one bacon strip around each bratwurst, securing the bacon with wooden picks. Cover and refrigerate.
Cook the onion packet and bratwurst 4 inches from gray coals (medium heat), turning the bratwurst often. Grill for 20 to 25 minutes or until the onions are tender and the bratwurst are cooked through. To serve, place the bacon-wrapped bratwurst in the rolls and top with the onion mixture.