This Italian classic is even more delicious when it's served on a stick.
Heat campfire or grill to medium, with areas set up for direct and indirect cooking. (Just don't spread the embers, and cook over the "stack" for direct heat.)
Stretch dough into four 3x5-inch pieces. Divide peppers among dough. Wrap dough around sausages and peppers. Insert skewers.
Oil grill grates. Grill roll-ups over direct heat, turning often, until browned on all sides, 3 to 5 minutes. Move to indirect heat and cover with a metal bowl, turning occasionally, until cooked through, 10 to 12 minutes.
Serve with warmed sauce.