1) Preheat a griddle to medium-high. Brush the mushroom caps with olive oil; sprinkle evenly with salt and pepper. Cook the mushrooms, smooth side down, covered with the griddle lid, for 6 to 8 minutes, or until tender.
2) In a small bowl, combine the mayonnaise, pesto, mustard, 1/4 teaspoon salt and 1/4 teaspoon pepper. Spread the mixture evenly over both cut sides of the buns. Divide the rocket leaves evenly over the bottom bun halves. Top each evenly with peppers. Place the mushrooms caps over the peppers. Cover with the tops of the buns.