Preheat the oven to 200 degrees F. Heat the vegetable oil in a heavy-bottomed skillet over medium heat. Add the kielbasa and cook until golden brown, about 5 minutes per side. Set in a baking dish and place in the oven to keep warm.
To the same skillet, add the onion and stir to combine with the oil remaining in the pan. Season with salt and pepper and cook over medium-low heat, stirring occasionally, for 30 minutes. Once the onion is golden and soft, set aside.
To build the sandwich: Place a sausage on a bun, slather with good yellow mustard and top with an ample amount of caramelized onion and 2 or 3 pickled peppers. Wrap the sandwich in deli paper, parchment paper or foil. Let sit for 5 minutes to get all good and steamed up.