Heat grill to high. Rub bell pepper and onion wedges with vegetable oil. Grill over high heat, turning frequently until onion is softened and the skin of bell pepper is charred and blistered.
Place bell pepper into brown paper bag to cool. (This steams the pepper further, making it softer). When cool, peel the charred skin off bell pepper.
Mix steak seasoning up and mix ½ teaspoon into red pepper sauce. Place sauce into refrigerator.
Pat steak dry and season liberally on both sides with steak rub. Sprinkle any leftover seasoning onto onion wedges.