Preheat the oven or a grill for indirect cooking to 350 degrees F.
Prepare the rolls: Place the rolls on a nonstick-foil-lined baking sheet. With a serrated paring knife, carve out a circle on the top of each, cutting down about 1 inch deep. (You need to keep the bottom sturdy, so you don't want to cut all the way to the bottom. Get your fingers in there and pull out the plug of bread, leaving room for your filling. Save the excess bread for breadcrumbs!)
For the buffalo chicken sliders: Mix the chicken, blue cheese, 1 1/2 cups wing sauce or to taste and 1/2 cup of the shredded Italian cheese blend in a medium bowl. Set aside.
For the Italian meatball sub sliders: Assemble 12 sliders by spooning into the cavity of each: 1 tablespoon marinara sauce followed by 1 tablespoon mozzarella, then a meatball, then a teaspoon of marinara. Sprinkle the tops of the meatball sliders with the Parmesan.
For the buffalo chicken sliders: Assemble the remaining 12 sliders by stuffing 2 to 3 tablespoons of the buffalo chicken mixture into each cavity. Top with the remaining shredded Italian cheese blend.
Bake the sliders in the oven or over indirect heat until the cheese is melted and the tops are golden, about 25 minutes.