Light a grill. Poke the sausages all over with a knife. Thread each type of sausage onto a pair of skewers (to facilitate turning). Thread the peppers and radicchio onto separate paired skewers as well. Brush the sausages and vegetables with olive oil. Season the vegetables with salt and pepper.
Grill the sausages over moderate heat, turning, until cooked through, 10 minutes for the breakfast sausages, 12 minutes for the weisswursts and 25 minutes for the Italian sausages. Grill the peppers, turning, until lightly charred, 10 minutes. Grill the radicchio until crisp, 2 minutes per side. Serve.