Add the peppers, onions, oil, salt and pepper to a medium mixing bowl. Use tongs to mix until the veggies are coated in oil and seasoning. Next, pour the veggies into the air fryer basket. Air fry at 350F for 7 minutes.

Open the air fryer and use tongs to stir. The veggies will be about halfway cooked and slightly softened at this point. Pierce your sausages with a toothpick or slice with a knife, then add them to the air fryer basket on top of the veggies (cook as many as you plan to eat, up to 4 sausages). Air fry at 350F for another 7 minutes, or until the sausages are plump and sizzling, and the veggies are charing at the edges and look cooked to your preference (you can always take the sausages out and cook the veggies longer if needed).

After the veggies and sausages are cooked, remove everything from the air fryer basket – put the sausages into buns and pour the peppers and onions into a small bowl. Next, place your sausage dogs (with buns!) back into the air fryer basket. Use tongs to place some cooked peppers and onions on top of the sausages in the buns. Air fry the assembled sausage dogs at 350F for 2-3 minutes to warm the buns. If you have a smaller air fryer, you may need to do this in batches of two sausages dogs. Finally to add cheese, place a long slice of cheese on top of the sausage dogs and close the air fryer for about 2 minutes. This will allow the residual heat to melt the cheese and let the sausages rest.

Remove the sausage dogs from the air fryer basket with tongs and serve immediately with any more toppings you like. I recommend making only as many sausage dogs as needed. You can store leftover cooked peppers and onions in the fridge for up to 4 days.