For the Chicken Burgers:
Combine the ground chicken with 1/4 cup of the chopped onion, 1 tablespoon of the vegetable oil, 1 teaspoon of the chili powder, 1 teaspoon of salt, and the garam masala.
Form the ground-chicken mixture into patties.
Preheat the Big green Egg to 400° using a raised grid.
Brush the chicken burgers with vegetable oil and grill for 5 minutes per side or until the burgers measure 1650°.
For the Peanut Sauce:
In a medium saucepan, heat the remaining 1 tablespoon of vegetable oil.
Add the remaining 2 tablespoons of chopped onion and 1 teaspoon of chili powder and cook over medium heat, stirring, until the onion is softened, about 5 minutes.
Add the coconut milk and bring to a boil.
Remove from the heat and whisk in the peanut butter and hot water.
Stir in the peanuts and season the sauce lightly with salt.
Spread the peanut sauce on the rolls.
Top with the burgers and lettuce, close and serve.