In a grill pan, heat olive oil over medium heat. Add onion and cook for about 5 minutes, stirring occasionally.
- Add mushrooms and grill for about 10 minutes, stirring occasionally.
- Add soy sauce and black pepper, stir and grill for another 5 minutes, stirring occasionally. Remove from pan.
- Place rolls, cut side down on pan and grill for a few minutes until toasted.
- While mushrooms are grilling, make cheese sauce by placing a small sauce pan over medium heat. Add butter and once melted, whisk in flour.
- Slowly pour in warm milk, whisking constantly. Whisk frequently until sauce thickens (about 2 – 3 minutes.)
- Slowly whisk in cheese and whisk until melted. Remove from stove.
- To assemble sandwiches, divide mushrooms evenly among 4 rolls. Pour cheese sauce over mushrooms and serve immediately.