Preheat oven to 375° and grease a 9"-x-13" baking pan with cooking spray. Cut biscuits into quarters and add half to prepared pan. Bake until golden, 12 to 15 minutes.
Meanwhile, make gravy: In a large skillet over medium heat, add sausage and cook, breaking up meat with a wooden spoon, until no longer pink, about 6 minutes. Add flour and cook 1 minute more. Pour in milk and whisk to combine. Season with salt, pepper, and cayenne pepper.
Bring gravy to a boil, then reduce heat and simmer until thickened, about 3 minutes. Remove from heat and pour gravy over par-baked biscuits, then top with remaining biscuits. Brush biscuits with melted butter and season with black pepper.
Bake until golden and cooked through, 20 minutes.
Garnish with chives before serving.
