Heat grill on medium.

     Combine oil and vinegar in small bowl; brush both sides
     of peppers.  Spoon remaining marinade over mushroom 
     gills (underside of mushrooms).

     Grill peppers until tender and lightly charred on both
     sides; remove from grill.

     Turn heat to high.  Grill mushrooms, gill-sides up, 3 - 4 
     minutes, until hot throughout yet still firm enough to hold
     their shape ... if you like, you may grill them longer, until
     desired level of doneness is reached.

     Place mushrooms, gill side up, on bottom half of each roll.
     Top with cheese, onion, pepper, and top of roll.

     Note:  For a vegan version, omit the feta cheese.