Make the meatballs: Heat the olive oil in a medium skillet over medium heat. Add the onion and cook until soft, about 3 minutes. Add the garlic and cook 1 minute, stirring constantly.
Stir in the coriander, fennel seeds and rosemary; toast 1 minute. Transfer the mixture to a large bowl and refrigerate until cool.
Meanwhile, roll the goat cheese into 1/2-inch balls (the size of marbles); set aside.
Add the sausage, ground lamb, breadcrumbs, eggs and 1/2 teaspoon salt to the bowl with the spice mixture and mix with your hands until just combined. Roll into 24 small ovals (about 2 tablespoons meat each). Make an indentation in each with your thumb, then insert a goat cheese ball and form the meat around it. Roll between your hands to make a smooth ball. Refrigerate until ready to cook.
Make the sauce: Heat the olive oil in a large pot over medium-high heat. Add the onion and cook until soft, about 1 minute. Add the tomatoes and their juices, red pepper flakes, 1/2 teaspoon salt and the sugar; cook until thickened, about 10 minutes. Add the oregano.
Add the meatballs to the sauce. Reduce the heat to low, cover and simmer until cooked through, about 10 minutes.
Assemble the sliders: Beat the goat cheese, mascarpone and milk in a bowl with a wooden spoon. Stir in the oregano, rosemary, thyme, dill, 1/4 teaspoon salt and a pinch of pepper. Spread the goat cheese mixture on each roll; fill with the pickled cucumbers, meatballs and more sauce.
Photograph by Joseph DeLeo
Recipe courtesy Andrew Carmellini for Food Network Magazine