Shred zucchini and carrot; finely chop onion and pepper. Shred cheese (if necessary).

Combine cheese, zucchini, carrot, onion, pepper, salsa, cumin, oregano, and juice of the lime wedge in a medium bowl. Divide among 4 slices of bread, then top with the remaining bread to form sandwiches.

Preheat a sandwich press. If you don't have a sandwich press, heat olive oil in a large nonstick skillet over medium heat. Place 2 sandwiches in the pan, place a medium skillet on top of the sandwiches, then weigh it down with 4 15-ounce cans. Cook the sandwiches about 2 minutes until golden on one side; then, reduce the heat to medium-low, flip the sandwiches, replace the top skillet and cans, and cook another 2 minutes or until the second side is golden. Remove from heat and repeat with remaining sandwiches, adding more oil to the pan if needed.

Serve with mandarin oranges on the side.