Prep the mushrooms: Wipe caps clean with a damp towel. Remove stems.
Scrape gills if you want a milder taste and less mess.
Make the marinade: In a bowl, whisk olive oil, balsamic, soy sauce, garlic, Dijon, smoked paprika, a pinch of salt, and pepper.
Marinate: Place mushrooms gill-side up in a shallow dish. Spoon marinade over and rub to coat. Let sit 15–30 minutes, flipping once.
Preheat the grill: Heat a gas or charcoal grill to medium-high.
Oil the grates to prevent sticking. A grill pan on the stove works too.
Grill the caps: Place mushrooms on the grill, gill-side down first, 4–5 minutes. Flip, brush with extra marinade, and cook another 3–4 minutes until tender and lightly charred.
Add cheese (optional): In the last minute, add a cheese slice to each cap and close the lid to melt.
Toast the buns: Split buns and toast cut-side down for 30–60 seconds until lightly crisp.
Mix the spread: Stir mayo with grainy mustard.
Season with a pinch of salt and pepper.
Assemble: Spread the bun with the mayo-mustard. Layer lettuce, mushroom, tomato, onion, and pickles. Top with the other bun.
Serve: Eat right away while the caps are juicy and warm.