Heat oil in a non-stick frying pan over medium heat, add onion and cook for 2-3 minutes or until softened. Add mushrooms and bacon and cook for a further 4 minutes.
Add frankfurts to a large saucepan of cold water. Bring to the boil and simmer for 3-4 minutes or until heated through. Drain.
Make a cut from the top of each roll, 3/4 of the way through. Fill rolls with lettuce, onion mixture and frankfurts. Top with sauce. Serve immediately.