Great Grilled Vegetable Sandwich

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1 Japanese eggplant sliced on an angle in half-inch thick slices

1 small zucchini sliced on an angle in half-inch thick slices

1 red pepper cut in quarters lengthwise

1 small red onion cut into 4 slices

2 portobello mushroom caps

1/2 cup extra-virgin olive oil

Salt and pepper

8 slices crusty peasant style bread cut 1/2-inch thick

4 pieces red leaf lettuce

Herbed Mayonnaise, recipe follows

Herbed Mayonnaise:

3/4 cup mayonnaise

1/2 lemon, juiced

A few drop hot sauce

1 garlic clove, crushed and skin removed

2 tablespoons thyme leaves

2 tablespoons flat-leaf parsley leaves

2 tablespoons chopped chives