In a large pot, whisk together the cider vinegar, sugar, mustard seed, turmeric, celery seed, cinnamon stick, and bay leaf and bring to a boil.
When the brine comes to a boil, add the cabbage, fennel, onion, and peppers.
Bring to a boil, reduce to a simmer, and allow to cook for 5 minutes.
Drain the vegetables, reserving the liquid. Return the liquid to a boil and reduce by ½.
Add the oregano and pour over the cooked vegetables, allowing them to completely cool. This should be done at least one day ahead. The mixture will keep covered in the refrigerator for up to one month.
Prepare the grill.
When the grill is medium-hot, grill the sausages until cooked through but still juicy and allow them to rest for about 5 minutes.
While the sausages are cooling, toast the rolls on the grill.
To serve, slice the sausages, dress the rolls with the desired amount of Dijon mustard. Place 1/4 of the slices in each roll, and top with the desired amount of chow chow.