Prepare grill or broiler.
Cut eggplant lengthwise into 4 (1/2-inch-thick) slices. Cut zucchini lengthwise into 4 (1/4-inch-thick) slices. Reserve remaining eggplant and zucchini for another use. Coat both sides of eggplant, zucchini, onion, and bell peppers with cooking spray.
Place vegetables on grill rack or broiler pan coated with cooking spray; cook 5 minutes on each side or until tender. Remove from grill or broiler; sprinkle with salt and black pepper. Spread 1 1/2 teaspoons Romesco Sauce over each of 2 bread slices; layer each slice with 2 eggplant slices, 2 zucchini slices, 1 onion slice, half of red bell pepper, and half of yellow bell pepper. Spread 1 1/2 teaspoons sauce over remaining bread slices; place on top of sandwiches. Cut each sandwich in half; secure with wooden picks.