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.
Photograph by Ryan Dausch