Spritz both sides of eggplant slices with cooking spray and season with salt and pepper. Lightly oil the chargrill or grill rack by rubbing it with a piece of oil-soaked paper towel (use tongs to hold the paper towel when working over a hot grill). Grill eggplant until very tender and browned, 4 to 6 minutes per side.
Sauce: combine walnuts, breadcrumbs, garlic, oregano and chilli flakes in a food processor; process until walnuts are ground. Add roasted red capsicums and lemon juice; process until smooth. The spread will keep, covered, in the refrigerator for up to 4 days.
Spread about 1 tablespoon of red capsicum walnut sauce over one side of each bread slice. Layer eggplant slices and goat cheese slices on 4 slices of bread. Top with rocket. Set the remaining bread slices on the sandwiches. Cut the sandwiches in half. The sandwiches will keep, wrapped in plastic wrap or foil, in the refrigerator or a cooler packed with ice packs for up to 1 day.