Prepare grill.
In a bowl drizzle oil over pepper rings and onion slices, tossing to coat well. Grill peppers and onions on an oiled rack set 5 to 6 inches over glowing coals 3 minutes on each side, or until tender. (Alternatively, peppers and onions may be grilled in batches in a hot well-seasoned ridged grill pan over moderately-high heat.)
Transfer peppers and onions to a bowl.
Grill bratwurst, turning them, until golden and just cooked through (about 160 degrees on an instant-read thermometer), 20 minutes.
Put a pair of brats, cut in half lengthwise and stacked on each roll. Top with peppers, onions, pickles and mustard.
