Heat the grill to hot.
Arrange the sausages on a lined baking sheet and grill for 10-12 minutes, turning occasionally until dark golden brown all over and cooked. Meanwhile, make cuts through the middle of the rolls all the way to the base, but not through.
Arrange lettuce leaves, shredded cabbage and some grated carrot in each. Top with the cooked sausages and serve with ketchup and yellow mustard on the side.