Start by finely chopping the yellow onion and scallions. This will ensure that their flavors are evenly distributed throughout the sauce.
Using a zester, carefully remove the zest from the lemon and set it aside. Then, cut the lemon in half and squeeze out the juice, making sure to remove any seeds.
In a mixing bowl, add the chopped yellow onion, scallions, lemon zest, lemon juice, Worcestershire sauce, and mayonnaise.
Using a whisk or spoon, mix all the ingredients until they are well combined and the sauce is smooth. Taste and adjust seasoning if needed.
Cover the bowl with plastic wrap or transfer the sauce to an airtight container. Let it chill in the refrigerator for at least 30 minutes to allow the flavors to meld together.