In small bowl, combine mayonnaise, Dijon, lemon juice, horseradish and salt. Stir to combine. Set aside.
Turn oven to broil. Toss bell pepper slices and shallot in oil. Place in baking dish or baking sheet and cook until edges begin to brown, about 10 minutes, turning once to avoid burning. Butter pretzel buns and toast under broiler as well.
To assemble sandwiches, distribute roasted vegetables, ham and Swiss cheese over four pretzel buns. Spread Dijon Spread over pretzel buns and serve.