Add the olive oil and sausages to a large pan on medium-high heat. Cook, turning sausages occasionally, until cooked through, about 10 minutes. Remove to a paper towel-lined plate. Cool until cool enough to handle, then chop. Set aside.
Add the heavy cream, yogurt, eggs, orange zest and 2 tablespoons cinnamon sugar to a large bowl. Stir until everything is combined.
Butter the bottom and sides of an 8-inch square baking dish. Spread the chicken sausage in the bottom of the dish. Shingle the toast on top, overlapping each other slightly, then pour the custard over. Sprinkle the top with the remaining tablespoon cinnamon sugar. Bake, covering with foil halfway through, until golden and bubbly, 30 to 40 minutes.
Meanwhile, combine the orange juice, maple syrup and fennel seeds in a small pot on medium heat. Cook until reduced back down to a syrup consistency, 10 to 15 minutes. Strain out the fennel seeds and serve with the bread pudding.