First, prepare the rolls if necessary. I used part-baked baguettes so I cooked them in the oven until crusty. You can also use soft submarine rolls, if you prefer. Slice them lengthwise.
Heat a dash of oil in a frying pan, and add the sliced onion, pepper and mushrooms. Cook over a medium heat for around 10 minutes, until very soft. Add the cumin and paprika, and mix well.
Divide the vegetables into two halves in the pan, making the piles vaguely the same shape as your rolls (i.e. two long, thin piles of veggies). Top each pile of vegetables with a slice of spicy cheese and a slice of mild cheese. Turn the heat down to low, and cover the pan with a lid. Cook for another couple of minutes until the cheese has melted.
Scoop each pile of vegetables into one of the rolls, and serve with fresh avocado and sour cream if desired.