Heat grill. When ready to grill, place onion on gas grill over medium heat or on charcoal grill 4 to 6 inches from medium coals. Cook 3 minutes.
Meanwhile, brush zucchini, bell pepper and eggplant with salad dressing.
Brush onion on grill with salad dressing; turn onion. Place zucchini, bell pepper and eggplant, dressing side down, on grill; cook 13 to 15 minutes or until vegetables are tender, brushing with salad dressing and turning once. Remove vegetables from grill. Cut zucchini and bell pepper into bite-sized pieces.
Spread 1 side of each toasted bread slice with any remaining salad dressing. Sprinkle cheese evenly on 4 bread slices. Top evenly with warm vegetables. Cover with remaining bread slices, dressing side down.