Rub the broccoli, butternut and onion with salt, pepper and olive oil, then grill lightly on all sides over smouldering coals for 8 minutes. Set aside to cool.
Cover one side of each wrap with a thin layer of mascarpone.
Lay the grilled vegetables, along with the crumbled blue cheese and rocket, in the centre of each wrap – be fairly generous – then roll up tightly.
Return to the grill and lightly brown.
Slice at an angle and serve with pesto.