In a food processor or blender, combine mayonnaise, horseradish, 1 chipotle pepper, and 1 tablespoon of adobo sauce. Puree until creamy; set aside and refrigerate 4 -24 hours.
For the marinade, combine onion, garlic cloves, remaining adobo sauce, and remaining chipotle peppers in a food processor or blender; chop until mixed. With machine running, gradually add olive oil and balsamic vinegar. Puree until creamy.
Place steak in a dish and pour marinade mix over the top, turning steak to coat. Cover and refrigerate 4-24 hours.
Slice mushrooms, peppers, onion, and garlic thinly. In a large skillet, heat olive oil over medium heat. Once oil begins to simmer, add peppers and onions. Cook 15-20 minutes, or until browned; set aside.
In another pan, melt butter. As butter begins to bubble, add mushrooms and garlic. Cook for 20-25 minutes. Ensure mushrooms have released juices, and watch for browning of garlic. Check that garlic is browned before removing from heat and setting aside.
When ready to cook, start the Traeger on Smoke with the lid open until a fire is established (4-5 minutes). Turn temperature to High and preheat, lid closed, for 20 minutes – make sure grill is properly preheated in order to get a good sear on the steak.
Place steak on grill grate and cook 8-10 minutes per side. It is best to find the hot spot on your grill, typically towards the rear. Cook steak to medium-rare, remove from grill, and let rest for 10 minutes. Slice steak as thinly as possible.
Assemble the sandwiches by toasting sliced rolls in a warm oven. Heat large skillet over medium heat and add thinly sliced steak and cooked vegetables; stir to combine. Cover with sliced cheese and continue to stir to combine cheese to meat and vegetable mixture. Remove rolls from oven, spread mayonnaise mix, and fill with meat mixture. Enjoy!