To make the dressing: In a large bowl, whisk the dressing ingredients until blended.
Cut each pepper in half lengthwise. Remove and discard the seeds and stems. Cut the onion crosswise into 1/2-inch thick slices. Lightly brush the peppers and onions with the dressing. Grill over Direct Medium heat until tender, 8 to 12 minutes, turning occasionally.
When the onions are cool enough to handle, cut each slice into quarters, separating the rings. Remove and discard the large pieces of blackened skin from the peppers. Cut the peppers into 2- to 3-inch pieces. Add the peppers and onion rings to the remaining dressing and toss to coat.
Grill the sausages over Direct Medium heat until golden brown and fully cooked, 6 to 8 minutes, turning occasionally. Grill the rolls until lightly toasted, 30 to 60 seconds.
Place a sausage on one side of each roll. Top with peppers and onions, distributing them equally. Drizzle any remaining dressing on the other side of each roll. Serve warm.