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.
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, ketchup, and mustard. Serve with chips, pickle, and soda.