Heat a grill for high two-zone cooking. Grill the sausages over direct heat to get some char and heat them through, about 4 minutes. Remove from the heat and set aside. Over indirect heat cook the rice according to the package directions. While the rice cooks, make the cream sauce.
Set a large skillet over high, direct heat. Melt the butter in the skillet and add the pepper and onion and season with salt, cook until softened about 5 minutes. Sprinkle on the flour and cook until it is no longer dry and smells like pancakes. Add the cream and cook until just beginning to thicken, then add the cajun seasoning and parmesan cheese. Remember the sauce with thicken more as it cools. Remove from the heat.
Fill each tortillas with rice and sauce and wrap tightly. Toast the burritos over high heat, about 2 minutes each side. Cover in the cajun cream sauce and serve immediately.