In a large resealable plastic bag, combine the soy sauce, oil, Worcestershire sauce, lemon juice, garlic, and pepper. Add the flank steak, seal the bag, and refrigerate for at least 8 hours.
For the Bacon Horseradish Sauce
In a small bowl, combine the green onions, mayonnaise, bacon, horseradish, lemon zest, and lemon juice. Cover and chill.
Grilling
Preheat a grill to medium heat.
Drain the steak, discarding the marinade. Place the steak on the grill.
Grill 4 to 5 minutes on each side, or until desired temperature. (You may also bake at 425 degrees F)
Let stand for 10 minutes before slicing.
Assembly
Spread desired amount of Bacon Horseradish Sauce over the bottom of the rolls.