Preheat a grill or grill pan. In a small bowl, whisk together the lemon juice, garlic, anchovy paste, mustard, Worcestershire sauce and pepper. Whisk in the EVOO until thickened. Brush the romaine hearts with some of the dressing. Mix the cheese into the remaining dressing.
Grill the bread and the lettuce, turning occasionally, for 5 minutes. Trim the ends off the lettuce. Pile the chicken and lettuce on the bread bottom, top with the dressing and cover with the bread top. Cut into 4 large sammies.