Combine soy, pineapple juice, sherry, brown sugar, and garlic, mixing well. Pour over chicken , and let marinate for about 30 minutes. Remove from marinade.
Grill chicken over hot coals 25 minutes or till done, turning and basting with marinade about every 5 minutes. Place a slice of cheese on each chicken breast, and grill an additional 3 minutes or until cheese melts. Remove from grill.
Spread each side of rolls with mustard sauce; place chicken breast on bottom half; top with lettuce leaf. Cover with roll top.
For Sauce combine all ingredients in container of a blender and blend until smooth.
Pour mixture in top of a double boiler; bring water to a boil. Reduce heat to low; cook, stirring constantly, about 7 minutes or until smooth and thickened. Store in refrigerator in airtight container.