Preheat oven to 350°F. Lightly coat a baking sheet with cooking spray. Brush mushroom caps with oil and sprinkle with salt and pepper. Arrange mushrooms, onion, and roasted peppers on baking sheet and roast until vegetables are golden brown, about 15 to 20 minutes. In a small bowl, combine yogurt and blue cheese. Mix well. Spread 3 tbsp blue cheese mixture on the top of a multigrain bun. On the bottom of each bun, place 1 arugula leaf, 1 mushroom cap and 4 slices each of onion and roasted red pepper. Replace top of bun and serve.