PREHEAT grill to medium-high heat and brush grates with oil.
WHISK shallot, jalapeño, garlic, vinegar, cilantro, parsley, oregano and oil in medium bowl until combined. Season with salt and pepper.
GRILL sausages until the exterior is crisp and char marks appear, about 5 to 6 minutes per side.
GRILL rolls split-side-down until lightly toasted, about 1 to 2 minutes.
SERVE grilled sausages in toasted rolls and top with chimichurri sauce and pickled red onions.