Melt butter in a saucepan over medium heat. Cook shallots for 5 minutes until soft, then stir in flour for 1 minute.
Gradually whisk in broth, Worcestershire, sage, salt and pepper. Simmer for 3 to 4 minutes until the gravy lightly coats a spoon.
Fold sliced turkey into the gravy and heat gently for 5 to 8 minutes until the meat reaches 165°F, adding no more heat than needed to maintain a gentle simmer.
Meanwhile, toast the roll cut faces under a broiler for 1 to 2 minutes until lightly golden.
Lift turkey onto the bottom rolls with a slotted spoon, add a modest spoonful of gravy and close with the tops. Serve remaining gravy separately for dipping.