Heat grill or grill pan to medium-hot. Brush both sides of the onion slices with the oil and sprinkle with ¼ teaspoon salt and ⅛ teaspoon pepper.
Grill the onions and sausage, turning occasionally, until the onions are soft and the sausage is cooked through, 12 to 15 minutes.
Slice the sausage into 4-inch pieces. Spread the inside of the bread with the mustard, then form a sandwich with the onions and sausage. Cut in half and serve.