Step 1: Set up your grill for direct grilling and preheat to high. Place the peppers and onions in a large bowl and toss to coat with 1 tablespoon olive oil. Season generously with salt and pepper. Place the peppers and onions in a wire grill basket or on a grilling grid and grill until golden brown, 8 to 12 minutes, shaking the basket so they brown evenly. Return the grilled vegetables to the bowl. The recipe can be prepared ahead to this stage.
Step 2: An hour before serving, set up your grill for indirect grilling and preheat to medium. Brush and oil the grill grate. Lightly brush the sausages with olive oil and arrange the on the grate over the drip pan away from the heat. Indirect grill the sausages until crusty and golden brown on the outside and cooked through, 30 to 40 minutes. Use an instant-read meat thermometer to check for doneness — insert the probe in one end toward the center of the sausage — it should read 160 degrees F. The casings will be browned and crisp.
Step 3: Meanwhile, slice one end off each baguette so you can butt them together. Cut each baguette almost in half lengthwise through the top. Open up the baguette and brush the inside with olive oil.
Step 4: When the sausages are cooked, transfer to a foil pan. Place the baguettes on the grill and indirect grill to warm, 5 minutes.
Step 5: To assemble the sandwich, butt the cut ends of the baguettes together to make a long sandwich. Line up the sausages end-to-end in the baguette. Top with the grilled peppers and onions. Drizzle with a little more olive oil and sprinkle with Italian seasoning or oregano. Let everyone admire the sandwich whole, then cut crosswise with a serrated knife into individual lengths for serving.