I'm partial to provolone or American Cheese, but here's a home recipe for Cheez Whiz:
http://hiddenlol.com/lol/130365
You can make one at home fairly easily, some places like Geno's use thin rib eye slices and fry them up. Or if you could get a beef knuckle and have the butcher slice it wafer thin on a commercial slicer, it's made easier if the meat is close to freezing. This is a tougher cut, so the meat is typically chopped up with a metal spatula while it cooks. When it's browned, you can lay slices of cheese on top, then the split roll, so the roll traps the steam coming off the steak and melts the cheese. Or, skip this step and use Wiz. As for a roll, it should be crusty on the outside, pillow-like inside, fresh today but suitable for breadcrumbs or croutons tomorrow.