Preheat oven to 400°F/200°C. Lightly oil large rimmed baking sheet.
Wash peppers and slice in half lengthwise. Use a paring knife or spoon to remove seeds and pith. Peel onion and slice into thick wedges. Slice smoked sausage into 2 inch thick pieces.
Spread vegetables out on baking sheet. Drizzle olive oil evenly over vegetables and toss to coat. Sprinkle with salt and pepper. Nestle sausage pieces among peppers, skin down.
Bake on center rack of oven for 25 minutes, flipping vegetables and sausage at the halfway point. ( Bake for 5 to 10 minutes longer for browned vegetables and sausage)
Meanwhile, mix together ingredients for honey mustard sauce and set aside.
Remove pan from oven and allow to cool slightly before serving. Serve right on the pan with a container of honey mustard sauce for dipping. .