Warm the rolls on a rack in a 250° F oven.
Meanwhile, heat the oil in a large skillet, over medium heat. Add the meatballs. Cook until brown, 3 to 5 minutes. Add the sauce, reduce heat to medium-low, and simmer until it begins to bubble, about 3 minutes.
Remove the rolls from oven and slice lengthwise. Spoon the meatballs and sauce onto the rolls, then sprinkle with the mozzarella and Parmesan. Serve with the pickles, if desired.