In a large nonstick skillet, heat the olive oil over medium-high heat. Add the onion, bell pepper and mushrooms and cook, stirring occasionally, until soft, about 8 minutes. Reduce the heat to medium, stir in the Worcestershire sauce, season with salt and pepper and cook until the liquid has evaporated.
Arrange the cheese slices evenly over the vegetable mixture. Cover, remove from the heat and let the cheese melt, about 3 minutes. Divide the cheese-covered vegetables among the 4 rolls.