Using a pastry brush, brush olive oil on the vegetable slices and the portobello mushrooms. Season them with salt and pepper. Place vegetables on a hot grill and cook until they are tender. Once vegetables are done brush sliced bread with olive oil and grill on both sides. To assemble, slice portobellos into 1/4-inch slices, spread both sides of the grilled bread with Herbed Mayonnaise and then top with 1 slice each of grilled vegetables and a quarter of the mushrooms, and finish off with lettuce and top with remaining piece of bread.
Combine all ingredients in a food processor and pulse.