Preheat grill to 350° F. Lightly grease a baking sheet; set aside.
In a medium glass bowl, combine pecans, sugar and water. Cook in microwave on high setting, stirring several times during cooking, for 8 to 8-1/2 minutes, or until sugar has caramelized. Pour out onto prepared baking sheet and separate into pieces. Let cool completely.
With a spoon or melon scoop, create a shallow well in each watermelon piece. Brush watermelon pieces with olive oil and season with salt and pepper. Place blue cheese into the well of each watermelon piece and top with sugared pecans. Grill each square, uncovered, for 1 to 2 minutes, until grill marks appear and cheese is slightly melted. Remove from heat and serve immediately.
Watermelon can be cut into 3-inch square bite-sized pieces and served as appetizers as well.