Preheat the oven to 450 degrees F and line a baking sheet with foil. Make 5 crosswise slits in the top of each chicken breast with a paring knife, cutting about three-quarters of the way through. Rub the chicken all over with 1 tablespoon vegetable oil, then rub with the Cajun seasoning, making sure to season inside the slits; season lightly with salt and pepper. Arrange on the prepared baking sheet.
Toss the sausage, bell pepper and onion with the remaining 1 tablespoon vegetable oil. Stuff the mixture into the slits on each chicken breast. Roast the chicken until it is just cooked through, about 15 minutes. Top with parsley.