Whisk together 2 tablespoons olive oil, 2 tablespoons Worcestershire sauce, juice of 1 lime, 2 crushed garlic cloves, 1 teaspoon ground cumin, 1/2–1 teaspoon crushed red chili flakes, a pinch of salt and 1 teaspoon brown sugar in a large shallow dish.
Pour half the marinade over the beef fillets, turning to coat; place the peppers and sliced onion in the remaining marinade and toss to coat. Cook immediately or refrigerate for 1–2 hours (or overnight) for more flavor.
Heat a cast iron skillet or heavy pan over medium-high and add 2 teaspoons oil. Add the marinated peppers and onion and fry until slightly charred but still crisp, about 3–5 minutes. Transfer to a warm plate.
Increase heat to high, add a little more oil if needed, and sear the steak in batches until cooked to your liking. Remove steaks and rest on a cutting board for 5 minutes, then slice thinly against the grain.
Assemble sandwiches: on 4 slices of bread layer some cooked peppers and onion, sliced steak, a spoonful of Greek yoghurt or sour cream, a few avocado slices, a slice or two of mozzarella and a few cilantro leaves. Top with the remaining bread.
Grill the sandwiches in a sandwich press or in a hot skillet with a weight on top until the bread is golden and the cheese has melted, about 2–4 minutes per side in a skillet or until pressed in a sandwich grill.
Serve immediately with lime wedges, extra Greek yoghurt/sour cream and salsa on the side.