Heat oven to 425°F; line a rimmed sheet with parchment.
Mix beef, breadcrumbs, Parmesan, egg, milk, oregano, and salt just until combined. Shape 16 compact meatballs.
Bake 12 to 15 minutes until browned and centers reach 160°F.
Warm marinara in a saucepan. Add meatballs; simmer 8 minutes until sauce and meatballs reach 165°F.
Split rolls without cutting through; toast cut-side up 3 minutes.
Fill each with 4 meatballs and sauce; top with mozzarella. Broil 2 to 3 minutes until cheese bubbles.
Rest 2 minutes to keep cheese from sliding.