Wipe the top sides of the mushrooms with a damp paper towel. Don't rinse them-they will go soggy. Remove the stems with a small knife. Use a spoon to carefully scrape the gills from the undersides of the mushrooms, and then discard the gills. Slice into strips.
Heat a large saute pan on medium high. Add half the oil, swirling the pan to evenly coat the bottom. Add the portobello slices and cook, stirring occasionally, until they're nicely caramelized, about 8 minutes. Remove them to a plate.
Heat the remaining oil in the same pan and add the onion and bell pepper. Saute until the vegetables have begun to brown, about 8 minutes. Return the mushrooms to the pan and stir in the soy sauce and Worcestershire. Cook until the vegetables have absorbed most of the liquid. Season to taste with salt and pepper, and remove the pan from the heat.
Divide the vegetables into four piles in the pan and top each pile with a slice of cheese. After the cheese has melted a little, use a spatula to tuck the vegetables into the rolls.