Preheat the oven to 375 degrees F.
Place the sausage on a baking sheet and bake until cooked through and golden, 15 to 20 minutes.
Toss the peppers in 1 tablespoon of the oil and season with salt and pepper. Place on a separate baking sheet and roast until soft and slightly browned, about 15 minutes.
Cool the sausage and peppers. Butterfly the sausage by cutting lengthwise but not all the way through the sausage.
Place one of the cooked and butterflied sausages in the middle of each pizza round. Ladle some sauce and cooked peppers over the sausage and sprinkle each with the Parmesan. Fold the left and right sides of the dough over the sausage, followed by the top and bottom, and place folded-side down on a sheet pan. Repeat for the remaining pizza rounds. Brush the tops with the remaining 2 tablespoons corn oil. Place in the oven and bake until golden brown, 15 to 20 minutes.