Marinate the portobello mushrooms in olive oil with salt and pepper for 30 minutes. Heat grill to medium and place marinated portobello mushrooms on the grill. Grill for 5 minutes on each side. Place sliced red peppers on a grill tray and grill for 5 minutes, or until charcoaled. On a toasted bun, add arugula, grilled portobello, crumbled blue cheese, and grilled red pepper.