Bring steak to room temp: Take the steak out of the fridge 20–30 minutes before cooking. Pat it dry well with paper towels for better browning.
Mix the seasoning: In a small bowl, combine salt, pepper, garlic powder, and smoked paprika. Rub it all over the steak with 1 teaspoon of oil.
Preheat the air fryer: Set it to 400°F (200°C) for 3–5 minutes.
A hot basket helps the steak sear right away.
Cook the onions and peppers: Toss sliced onion and pepper with 1 tablespoon oil and a pinch of salt. Air fry at 370°F (188°C) for 6–8 minutes, shaking halfway, until softened and lightly browned. Transfer to a bowl and keep warm.
Air fry the steak: Increase temp to 400°F (200°C).
Place the steak in a single layer in the basket. Cook 6–8 minutes for medium-rare, flipping once at the halfway mark. Adjust time for thickness and your preferred doneness.
Rest the steak: Move the steak to a cutting board and rest 5–7 minutes.
This keeps the juices inside. Tent loosely with foil.
Make the sauce: Stir together mayonnaise, Dijon, horseradish, and lemon juice. Taste and adjust with a pinch of salt or more horseradish if you like heat.
Toast the rolls: Split the rolls and butter the cut sides.
Air fry, cut side up, at 380°F (193°C) for 2–3 minutes until lightly crisp.
Slice the steak: Slice thinly against the grain at a slight angle. This makes each bite tender.
Build the sandwiches: Spread sauce on both sides of each roll. Layer steak slices, then onions and peppers.
Top with cheese slices.
Melt the cheese: Return the assembled sandwiches to the air fryer at 350°F (177°C) for 1–2 minutes until the cheese just melts. Keep an eye on them.
Finish and serve: Add a sprinkle of flaky salt, a few drops of Worcestershire or balsamic glaze, and any fresh elements like arugula. Serve hot.