HEAT grill to medium heat.
COOK and stir onions and pepper strips in hot oil in skillet on medium heat until crisp-tender. Stir in steak sauce and horseradish. Remove from heat; cover to keep warm.
MEANWHILE, shape meat into 4 (1/2-inch-thick) patties.
GRILL patties 4 to 5 min. on each side or until done (160ºF). Fill rolls with burgers and vegetable mixture.