1. Heat a ridged grill pan over high heat until very hot. Cut each steak in half crosswise. Brush the steaks with oil and season with salt and pepper. In batches, add the steaks to the pan and cook, turning once, for about 3 minutes on each side for medium-rare.

2. Meanwhile, mash the cream cheese, blue cheese, and horseradish together. Spread on the toasted rolls.

3. Place a steak on the bottom half of each roll. Top each with tomato slices, onion rings, 2 pickle slices, and a lettuce leaf. Replace the roll tops and secure with wooden toothpicks. Serve at once, with the mustard passed on the side.