For the sausage: Mix together the pork shoulder and fatback in a bowl and run twice through a meat grinder, first using the medium grinder-plate and again using the small grinder-plate. Set aside one-third of the mixture for the chili.
Transfer the remaining ground meat to a large mixing bowl. Add the pickled jalapenos, Cheddar, salt, garlic powder, onion powder, allspice, mace, black pepper and thyme. Mix well.
Using a sausage stuffer, stuff the meat mixture into the casings. Twist into links and cut to separate.
Bring a pot of water to a boil; add the sausage links, making sure they're submerged. Turn down the heat and simmer the sausages until cooked through, about 10 minutes. Remove from the pot and dry on paper towels. Set aside.
For the sausage chili: In a pan over low heat, sweat onions and garlic in some olive oil, about 5 minutes. Raise the heat to medium high, add the reserved ground sausage mixture and cook until browned, another 5 minutes.
Add the bay leaf, chili powder, ketchup, mustard and salt; mix well. Turn down the heat and simmer for 20 minutes. Turn off the heat and set aside.
For the slaw: In a mixing bowl, combine the mayonnaise, sour cream, vinegar, sugar, celery seed, some salt and pepper, and the lime zest and juice. Mix well.
In another mixing bowl, combine the cabbage, scallions and cilantro. Pour the dressing over and mix well. Set aside.
To assemble: Grill the sausages until nicely golden brown. Place a sausage link into a bun, top with chili and then with the slaw.