Slather one side of each piece of bread with mayonnaise. These will be the exterior, the side that will hit the pan and brown, so lay slathered side down on a work surface.
Evenly divide the cheeses, olives, red pepper and onion between two slices of bread. Top with the last slice, mayonnaise facing out.
Heat a large skillet over medium heat and coat with cooking spray.
Add sandwiches, browning on each side for 2-3 minutes, gently pressing down to melt the cheese. Flip carefully to avoid toppings falling out.
Slice diagonally and serve with a side of tzatziki sauce for dipping.