Heat up a small skillet with vegetable oil over medium-high heat. Once oil is hot, add onion, green bell pepper, and mushrooms to the skillet. Cook until onion, green bell pepper, and mushrooms are softened, about 5-7 minutes. Season with salt and pepper. Remove from heat and place in a bowl.
Wipe out the skillet with a clean paper towel.
Butter the outer slices of bread (the sides that you want to be the outside) and place on a flat surface. Heat cleaned skillet over medium-low heat.
To assemble grilled cheese: add 1 tablespoon of tomato sauce on one slice of bread then add the cheese on top. You might have to break the cheese slice in half to fit your bread slice. Then on top of the cheese, add half of the onion/bell pepper/mushroom mixture on top. Finally, add your pepperoni slices.
Place the buttered sides of the bread into the skillet (cooking them open-faced). And place a lid on top of the skillet to trap in the steam and heat. Let cook for 1-2 minutes or until cheese is melted. Carefully put the sandwich together by putting the two halves together. Slice in half and serve.