Heat oil in heavy-bottom pan or Dutch oven heat oil over medium heat.
Add onions, shallot, and thyme.
Let cook until onions are very soft and caramel in color, 45 to 60 minutes.
Add vinegar and Worcestershire sauce; let cook until slightly thickened, about 15 minutes.
Season with salt and pepper; remove from heat and let cool to room temperature.
Meanwhile, in the bowl of an electric mixer fitted with the whisk attachment, whisk together cream cheese, sour cream, and mayonnaise until fluffy, about 5 minutes.
Add cooled onions and celery salt; stir to combine.
Transfer to refrigerator to chill at least 2 hours and up to 2 weeks; serve with crudites, flatbreads, or baguette slices.