Preheat oven to 425F.
Add red pepper, onion, garlic, and oregano to a roasting tray. Season with a pinch of salt and pepper and 2 tbsp EVOO. Toss everything to coat and spread vegetables evenly across the bottom of the tray. Place sausages directly overtop of vegetables. Brush the tops of the sausages with a bit of EVOO. Transfer to oven and roast 30-35 min (flip sausages halfway), or until sausages reach an internal temperature of 160F on an instant read thermometer.
Remove roasting tray from oven. Set sausages aside and transfer all the vegetables and rendered juices to a high-speed blender along with 1 tbsp sherry vinegar. Blend on medium speed (if you have speed settings) until mixture is smooth and creamy. With the blender still running, slowly drizzle in 2 tbsp of EVOO (the goal is to achieve an emulsification). Turn blender off and taste Romesco for seasoning. Adjust as required.
To plate, spoon Romesco onto a serving dish. Slice sausages in half and arrange overtop of Romesco. Garnish with fresh parsley leaves and a drizzle of EVOO.