Heat grill. In large bowl, combine ground beef, pepperoni, olives, bread crumbs, egg and 1/4 cup of the pizza sauce; mix well. Shape mixture into 5 patties, 1/2 inch thick.
When ready to grill, place patties on gas grill over medium heat or on charcoal grill 4 to 6 inches from medium coals. Cook 13 to 15 minutes or until thoroughly cooked, turning once.
To toast buns, place cut sides down on grill during last 1 to 2 minutes of cooking time. Top each patty with cheese pieces; cook just until melted.
Meanwhile, heat remaining pizza sauce in small saucepan over medium heat. Spread sauce on cut sides of toasted buns. Serve cheese-topped patties in buns.