Yes, you can make them on the grill. Grilling is very prominent in Bulgarian cuisine and will make the sandwiches super crispy. You can use a panini press or a conventional grill. Preheat the press or grill. Close the panini press or the lid of the grill and cook for 15 minutes or until the sandwiches are golden and crispy, the meat is cooked through, and the cheese is starting to melt on top.