Preheat the oven to 200c. Slice the aubergine into 8 slices, sprinkle with salt and leave to drain in a colander for at least 30 minutes. Mix all the marinade ingredients (except the vegetables) and set aside. Line a baking tray with tinfoil, lightly spray the mushrooms with oil, place gill-side down on the tray and roast for 20 minutes. Remove from the oven, turn over and drizzle half of the marinade over the gills of the mushrooms. Return the oven and roast for a further 10 minutes.
While the mushrooms are cooking, heat a heavy-bottomed skillet or frying pan to medium heat. Remove the aubergines from the colander and dry on paper towels. Press very firmly with the towels as you dry, to collapse the cell walls of the aubergine - this will help it soak up more marinade. Add a film of oil to the hot pan and add the aubergine slices. Reduce the heat to medium-low, cover and cook slowly until softened and well browned. Flip the slices and brown on the other side. When they are cooked, spread half of the remaining marinade on a plate and lay the aubergine slices in a single layer on the plate. Spoon over the rest of the marinade. Keep the frying pan hot.
To serve
Mix the chipotle with the Greek yoghurt. Start toasting the buns. Add the halloumi slices to the frying pan and lightly brown on each side. When the bread is toasted, spread a tablespoon or two of the chilli yoghurt on each bun, stick on a leaf or two of crunchy lettuce, then add one mushroom and two slices each of aubergine and halloumi. Top with the other half of the bun and serve immediately, with any leftover chilli yoghurt on the side.
Notes
The vegetables can be prepared ahead and reheated in a medium oven when you are ready to serve.