Sauté onion, ginger, and garlic with vegetable oil in a medium saucepan over medium-high heat until soft, about 5 minutes.
Add rosé, ketchup, cider vinegar, brown sugar, Dijon mustard, Worcestershire, salt, pepper, and cayenne. Simmer, stirring occasionally, until very slightly thickened, 5 to 6 minutes.
Cool slightly, add lemon juice, then whirl in a blender until smooth.
Note: Nutritional analysis is per 1/4-cup serving.