Heat oven to 425°F. Toss peppers and onion with oil, salt and pepper on a rimmed sheet pan, then nestle the sausage links among them.
Roast for 30 to 35 minutes, turning sausages and stirring vegetables halfway, until the links reach 160°F and peppers have browned edges.
Transfer sausages to a board and rest for 5 minutes. Toss the hot vegetables with balsamic vinegar and return them to the oven for 2 minutes.
Split the rolls and remove a little soft bread from the centers. Toast the cut faces under the broiler for 1 to 2 minutes, watching closely.
Split each sausage lengthwise after cooking. Set two sausage halves in each roll, lift peppers and onion over them with tongs, close and serve immediately.