Prepare barbecue (medium-high heat). Whisk mustard, honey, and mayonnaise in small bowl to blend. Thread 3 sausage pieces alternatively with 3 peppers onto each of 8 skewers and place on baking sheet. Brush with milk; sprinkle with salt and pepper.

Grill skewers until vegetables are lightly charred and crisp-tender and sausage is heated through, turning occasionally and brushing with mustard mixture during last 1 or 2 minutes, about 8 minutes total.

Arrange skewers on platter. Brush with any remaining mustard mixture.