Preheat oven to 450° F. Wash sweet potatoes and poke a few holes in each one with a fork. Rub sweet potatoes with olive oil and place on microwave-safe plate; microwave on high for 8 minutes. Transfer to baking sheet in preheated oven; bake until tender, about 25 to 30 minutes.
While sweet potatoes are baking, heat butter in a saucepan over medium heat until melted. Add flour and stir. When mixture thickens, gradually add milk. Stir until a thick sauce forms. Remove from heat and add 3 ounces blue cheese, salt, cayenne pepper and black pepper and stir to combine. Keep warm.
To serve, slice fully cooked sweet potatoes lengthwise across the top; squeeze ends together to open the sweet potatoes. Pour cheese sauce over top, then garnish with remaining blue cheese and chopped green onion.