Prepare outdoor grill for direct grilling over medium-high heat. Rub steak with oil and place on hot grill rack; cover and cook 15 minutes or until internal temperature reaches 145° for medium-rare or to desired doneness, turning once. Transfer steak to cutting board and tent loosely with foil; let stand 10 minutes.
On rimmed baking pan, stir mushrooms and peppers and onions; spray with cooking spray. Place pan on hot grill rack; cover and cook 8 minutes or until vegetables are browned, stirring occasionally.
Place naan on hot grill rack; cover and cook 1 minute or until grill marks appear. Turn naan and top with cheese; cover and cook 1 minute, or until cheese melts.
Slice steak across the grain; top half of naan with steak and vegetables; fold naan over to enclose filling and secure with toothpicks. Serve sandwiches drizzled with chipotle mayo, hot sauce or mustard along with salad kit, if desired.