Preheat the oven to 450 degrees F. Toast the rolls on a sheet pan for 5 minutes. Set aside. Lower the oven temperature to 425 degrees F.
Spread the peppers and onions on the sheet pan. Drizzle with the olive oil, sprinkle with the sage, salt and some pepper and toss, breaking up the onions a bit as you do. Nestle the sausages in and around the vegetables. Bake until the sausages are cooked through and the vegetables are tender, about 30 minutes.
Meanwhile, create your sandwich spread. Mix together the mayonnaise, ketchup and mustard in a small bowl until combined. Set aside.
Transfer the sausages to a cutting board and slice into coins. Spread each roll with as much or as little sandwich spread as you want, then load up with sliced sausage and roasted vegetables.