In a heavy saucepan, add vegetable oil and bring to warm heat.
Combine the ketchup, vinegar, Worcestershire sauce, onion, garlic, bay leaves, paprika, pepper, brown sugar, liquid smoke and prickly pear puree.
Simmer over medium heat until the onions are tender and the mixture is flavorful, about 15 minutes.
With an immersion blender or in your blender, puree the sauce to blend in the onions. Pour back into saucepan and add salt to taste.
Simmer over medium heat another 4-5 minutes until thick and flavored. If a sweeter sauce is desired, add more brown sugar or additional seasonings, to taste.
Refrigerate until ready to use.