Whisk together mayonnaise, vinegar, dijon mustard and Cajun seasoning in a medium size bowl. Fold in cabbage and bell peppers. Cover and refrigerate for 30 minutes.
Preheat your grill to cook the sausages.
Cook sausages over medium heat until cooked through about 10 minutes.
Place sausages in a bun and top with spicy slaw. Serve.