Place sausage in hot cast iron skillet and brown on all sides. Add water, cover and let steam for 5 to 8 minutes or until sausages are no longer pink in the middle. Remove to plate.
Drain off any remaining water from skillet. Add olive oil to same skillet along with peppers and onions. Cook over medium heat until soft, about 20 minutes. Place sausage in a roll with peppers and onions. Serve.