Preheat oven to 450°F. Toss sausage, Brussels sprouts, and shallots with oil and thread onto 4-inch skewers. Place on a foil-lined baking sheet. Bake in preheated oven until vegetables are tender, 7 to 8 minutes.
Preheat broiler. Broil until caramelized, 2 to 3 minutes.
Meanwhile, whisk together honey, mustard, vinegar, and pepper. Brush skewers with 1/3 of honey mixture. Broil 1 minute. Serve skewers with remaining sauce.