First, make the marinade. In a glass measuring cup, whisk together the olive oil, balsamic, garlic, lemon juice, and salt and pepper. Place the mushrooms in a zippered bag or shallow dish and pour the marinade over the top and undersides of the mushrooms. Cover and refrigerate, marinating for at least 30 minutes or up to 12 hours.
Meanwhile, make the aioli. Combine the mayo, chives, Dijon, garlic and lemon in a food processor. Pulse until the chives are broken up into smaller pieces, stirring and scraping the bowl as necessary. Alternatively, chop the chives into small pieces with a knife and stir everything together in a bowl. Taste and season with salt as needed.
Grilling
Start with clean and oiled grates and preheat the grill over high heat. Use tongs to transfer the mushrooms directly to the grill. Grill undisturbed for 3-4 minutes per side, or until mushrooms take on a rich, brown color. Place cheese slices on the mushrooms for the last minute of cooking time.
Pan-Fry
Brush a grill pan with a little oil, then heat over medium high heat. Add the mushrooms and cook undisturbed for 3-4 minutes per side or until mushrooms take on a rich brown color. Place cheese slices on the mushrooms for the last minute of cooking time.
Serve
Spread each side of the brioche bun with the prepared aioli. Layer with the grilled mushroom and cheese, sliced bell peppers and sprouts. Sandwich together and enjoy!