Tear off a 36x18-inch piece of heavy foil. Fold in half to make a double thickness of foil that measures 18x18 inches. Place sweet pepper and onion in the center of the foil. Dot with margarine or butter. Bring up two opposite edges of foil and seal with double fold. Then fold remaining ends to completely enclose, leaving space for steam to build. Prick the sausage links in several places with a fork or the tip of a sharp knife.
Arrange preheated coals around a drip pan in a covered grill. Test for medium heat above the pan. Place sausage links and the foil packet on grill over drip pan. Cover and grill for 20 to 25 minutes or until sausage juices run clear and vegetables are tender.
Meanwhile, heat pizza sauce in a small saucepan. Toast cut sides of buns on grill.
To serve, halve sausage links lengthwise, cutting to but not through the other side. Place sausage links in the toasted rolls. Top each with pepper mixture and pizza sauce. Sprinkle with Parmesan cheese. Makes 4 servings.