Preheat your oven to 350 degrees. Cut the tops of the peppers off horizontally. Carefully remove the seeds from the inside and clean. Mix sausage, egg, salt and pepper in a large bowl until fully combined. Using your hands, make the sausage mixture into small balls large enough to fill the entire inside of the pepper. Feel free to pack more if the sausage mixture into bigger peppers.
Lightly coat a baking sheet or oven-safe skillet with oil. Place the peppers onto the baking sheet sitting up, if possible. If they do not sit right, you may lay them on their side. Lightly coat a baking pan and place the asparagus into it. Do not double stack. Drizzle with olive oil. Place into oven.
Bake for 30-40 minutes until the sausage has browned. Asparagus may be done within 20-25 minutes. Keep an eye on it for browning.