Position an oven rack in the center of the oven, set a baking sheet on it and preheat the oven to 400 degrees F.
Toss the sausage links with the oil in a large bowl. Add the sausage to the hot baking sheet, arranging them in 1 layer. Roast, turning halfway through, until lightly browned in spots and cooked through, about 15 minutes. Let cool completely. Cut each sausage in half crosswise.
Meanwhile, whisk together the flour, cheese, baking powder, sugar, baking soda and salt in a large bowl. Grate the frozen butter on the large holes of a box grater and add to the bowl along with the scallions. Add the buttermilk and mix together gently with a fork. When a shaggy dough forms, turn it out onto a floured surface.
Working quickly, roll out the dough into a 14-by-8-inch rectangle about 1/8 inch thick. Trim each side by about an inch, to yield a 12-by-6-inch rectangle with clean edges. Cut twelve 1-inch-wide strips, then cut those strips in half crosswise. (You should have 24 strips, each about 1 inch by 3 inches.)
Wrap a biscuit strip around the center of each sausage half and place seam-side down and at least 1 inch apart on a clean baking sheet. Sprinkle a small pinch of cracked black pepper on top of each one. (Refrigerate up to overnight if not baking right away.)
Bake until golden brown, 15 to 18 minutes. Serve with maple syrup and/or warm gravy on the side.