Make the Red Onion Pickle: Using a mandolin or a sharp knife, slice the red onion as thinly as possible. Bring the vinegar, water, sugar, salt, mustard seeds and coriander seeds to a boil. Cook, stirring occasionally, until sugar and salt have dissolved, about 3 minutes. Transfer the onions to a heat resistant, resealable jar and pour the liquid mixture over the onions. Let stand at room temperature for at least 30 minutes. Store up to 2 weeks in the refrigerator.
Make the Creole Mustard Sauce: Combine the mayonnaise, Creole mustard, yellow mustard, Worcestershire, hot sauce, onion powder and garlic powder in a bowl and mix well. Refrigerate in a sealed container until ready to use.
Divide the sausage into 2 links. Heat a pan or a griddle to medium heat, add the olive oil and when hot add the sausage to the pan. Brown the sausage on all sides, about 5 minutes total. Cover and cook until cooked through, 165℉, about 5 minutes.
Make the sandwiches: Slice the bread pieces in half lengthwise. Spread about 1 tablespoon of the Creole Mustard Sauce on one side of the bread. Add a link of sausage, sprinkle with 1 to 2 tablespoons pickled onions and drizzle with another tablespoon of the sauce on top. Serve hot.
