First make the Yorkshire pudding. Heat the lard in a large shallow, round roasting tray in the oven until very hot.
Meanwhile, whisk together the flour, eggs and milk to form a smooth, lump-free batter. Pour the batter into the hot roasting tray and roast until well-risen, around 20-30 minutes. Remove the Yorkshire pudding, keeping it in the tray, and set aside.
Reduce the oven temperature to 180ºC/gas.
Place the sausages in a greased oven tray and bake them for 30 minutes until cooked through, turning now and then so that they colour evenly. Half-way through the sausage's baking time, return the Yorkshire pudding to the oven and heat through for 15 minutes until hot and crisp.
Meanwhile, cook the cubed potatoes in boiling salted water until tender. Drain, add in the milk and butter and season with salt and freshly ground pepper. Beat with a hand whisk until smooth and creamy. Stir through the creamed horseradish.
To make the onion gravy, gently heat the butter and olive oil in a frying pan. When hot, add the onions and begin to fry gently. After five minutes, add the chopped sage and garlic. On a gentle heat, add in the Marsala wine and turn up the heat so that everything begins to bubble.
Sniff the pan and see if alcohol smell has evaporated. If it has, turn the heat down. Stir the mustard into the pan and cook for a final 5 minutes.
To serve, turn out the crisped Yorkshire pudding from its tin. Place on a plate, fill with a generous serve of mash, stick several sausages into the mash pile and cover the bangers and mash with lashings of the onion gravy!