Heat grill to medium-high heat and oil cooking grates. Cut each sausage link in half crosswise.
Grill sausage, peppers, and onions, covered, 5 minutes. Turn; continue grilling, covered, 5 minutes, or until sausage is heated through and vegetables are crisp-tender.
Brush barbecue sauce over both sides of sausage and vegetables. Arrange rolls, cut-sides down, around edges of grill. Continue grilling, covered, 2 minutes or until rolls are lightly toasted.
Cut bell peppers into strips; separate onion slices into rings. Serve sausage and vegetables in rolls.