Heat oven to 425°F. Toss fennel wedges with oil, salt and pepper and roast on a small sheet pan for 25 to 30 minutes, turning once, until tender and browned at the edges.
Spread fennel in a shallow container and refrigerate promptly for 30 minutes until cold. Chop into small pieces, leaving any loose liquid behind.
Whisk yogurt, mayonnaise, olives, lemon juice and zest in a bowl. Flake in the drained tuna and fold gently with the cold fennel until lightly coated.
Split the rolls and toast their cut faces under the broiler for 1 to 2 minutes, then cool completely on a rack. Put one dry lettuce leaf along each bottom.
Divide tuna filling equally among the rolls and close gently. Cut across the middle and serve one sub per person, or refrigerate covered until eating the same day.