Preheat the oven to 350 degrees F. Grease a baking sheet with sides with olive oil.
Separate the stems from the leaves of the greens and chop both, keeping piles separate. I like to chop the stems into bite-size pieces (discarding any that appear too fibrous or if you simply prefer not to use them) and the leaves into pieces 2-3 inches long and across. You don’t want the leaf pieces to be too small as they will shrink a bit when baked.
Toss the stems, sliced onions, and mushrooms in a bowl with 1 tablespoon of the olive oil. Season with pepper to taste, and spread onto the prepared baking sheet. (I completely omit salt in this recipe as the blue cheese offers tremendous flavor; if you prefer more, you may always salt at the end.)
Bake in the preheated oven until the stems have softened and the onion and mushrooms are starting to brown, about 15 minutes. Remove from the oven and stir around a little.
Meanwhile, in the bowl you used to toss the first round of veggies, toss the leaves of the greens and the sliced pepper with 2 tablespoons of olive oil and a few more grinds of the pepper mill. Sprinkle the leaves and peppers over the stem mixture, then scatter the blue cheese over top.
Return to the oven, and bake until the leaves are beginning to crisp slightly, about 20 minutes. You may broil for a minute or so at the end to add an extra hint of crispiness to the leaves and a touch of golden brown to the blue cheese. Just watch very closely so as not to burn.
Remove from the oven and sprinkle with the optional walnuts or pine nuts, if desired.