Coat a large nonstick skillet with cooking spray, and place over medium-high heat until hot. Add mushrooms; sauté 4 minutes or until lightly browned. Remove from heat; stir in Worcestershire sauce.
Spoon about 1/3 cup mushroom mixture onto each bread slice; top each with one-fourth of bell pepper strips and 1 cheese slice.
Place sandwiches on a baking sheet, and broil for 2 minutes or until cheese melts. Garnish with thyme, if desired.