Grilling the vegetables instead of sauteing them gives them a more smokey grilled flavor. I did this the last time I made Spaghetti sauce and we all loved it.
I just oiled my grill pan, sliced the veggies, seasoned with salt and pepper and grilled until they got nice grill marks. Then, I chopped them up and finished my sauce as I normally would.
Try it you will like it!