Combine canola oil and olive oil in a liquid measuring cup.

Add anchovies, garlic, egg yolk, lemon juice, red wine vinegar, Dijon mustard, lemon zest, Worcestershire sauce, salt, and pepper to the measuring cup.

Submerge a stick blender into the mixture.

Turn on the blender and move it slowly up and down until the mixture thickens.

Stop the blender and add the grated Parmesan cheese.

Blend briefly to combine.

If using a regular blender, combine all ingredients except the oils in the blender.

With the blender running on high, slowly drizzle in the oils until thickened.

Stop the blender and add the Parmesan cheese.

Blend quickly just to combine.

Cover and refrigerate for up to 3 days.