Do you mean like this?
Here's one I did at the Memphis In May World BBQ Championship Celebrity Grill-off last year...
The process is simple. Using a long thin bladed knife, cut a slit down the middle of the loin. Insert a partially FROZEN italian sausage. Tie off the end and cook as you would a normal loin. It's best to do the prep work the night before so the sausage has time, in the fridge, to thaw out before cooking.