Heat the grill to med-high heat & grill the pepper slices on both sides for a few minutes until tender & nicely grill marked. (You can also do this on the stove with a pan, if you don’t have access to a grill)
Place the peppers & the rest of the ingredients into a food processor. Turn on the processor & puree into smooth sauce. Season with salt & pepper.
For the Grilled Vegetables
Toss the asparagus with the olive oil and season with salt & pepper.
Place the vegetables onto a well oiled med-high grill & cook for a couple of minutes on each side until tender. Season with salt & pepper, and serve with the Romesco sauce.
If you don’t have access to a grill, you can roast the asparagus on a sheet pan in the oven at 425 degrees F for 11-14 minutes—until just tender (based on the thickness of the asparagus.)