Preheat the oven to 425° with racks in the center and upper third positions. Transfer the broccoli florets, sliced red onions, and 2 tablespoons of the olive oil to the baking sheet and toss to combine.
Remove the sausage from the casings. Using your fingers, pinch off 1-inch pieces of sausage and add to the baking sheet with the broccoli and onions. Season with salt and pepper. Transfer to the center rack and roast for 15 minutes.
Meanwhile, in a medium bowl, add the tortellini, 2 tablespoons of water, and 1 tablespoon of olive oil. Season with salt and pepper. Remove the baking sheet from the oven, add the tortellini, and stir to combine. Squeeze one lemon wedge over the tortellini and top with the mozzarella. Return to the oven and bake until the tortellini is tender, about 10 minutes.
Set the broiler to high and move the baking sheet to the top rack. Broil until the cheese is browned in spots, 2 to 3 minutes.
Remove the baking sheet from the oven. Top with chopped banana peppers and Parmesan. Season with salt and pepper. Pass the remaining remaining lemon wedges at the table for squeezing over top