Spread cut sides of each roll evenly with mustard. Layer bottom halves of rolls evenly with pickle slices and next 4 ingredients; top with remaining roll halves, pressing sandwiches together gently. Brush outside of rolls evenly with olive oil.
Place sandwiches directly on cooking grate of grill, and top with a baking sheet. Place a heavy skillet on top of baking sheet. Grill, covered with grill lid, over medium heat (300° to 350°) 3 to 5 minutes on each side or until cheese is melted and sandwich is browned.