Heat the oil in a skillet over medium heat. Saute the peppers and onions until tender and golden brown. Remove the skillet from the heat. Season with salt and pepper to taste.
Preheat a grill or grill pan on medium heat. Grill the sausage, getting a nice char on all sides to an internal temperature of 155°F (68°C) using a thermometer.
Place the cooked sausage link on the roll, and top with sauteed peppers, onions, ketchup, and mustard.
Mix the sparkling water and lemon slices together. Serve over ice if desired.
Serve the grilled sausage sandwiches with carrots and celery and lemon sparkling water.