Fill a chimney starter to the rim with charcoal and burn the charcoal until it is lightly covered with ash. Spread the charcoal in a tightly packed, single layer across one-half of the charcoal grate. Put the cooking grate in place, close the lid, and let the charcoal burn down to medium heat (350° to 450°F). Leave all the vents open.
If you are using a gas grill, preheat your grill on high until it reaches 500°F and then adjust the burners to medium heat (350° to 450°F).
Remove and discard the stems and seeds from the bell peppers and jalapeño pepper. Cut the bell peppers lengthwise into ⅓-inch strips. Finely chop the jalapeño pepper. Cut the onion in half through the stem and root ends. Cut each half crosswise into ¼-inch slices.
Brush the cooking grates clean. In a large disposable foil pan over direct medium heat, melt the butter. Add the peppers, onion, fennel seed, salt, and pepper. Mix well with tongs. Cook the vegetables in the pan over direct medium heat, with the lid closed as much as possible, until they are tender and turn golden brown in spots, 10 to 15 minutes, stirring occasionally. If the vegetables brown too quickly, slide the pan over indirect heat and cook them there, with the lid closed.
When the vegetables are tender, add the beer and mustard. Mix well with tongs. Slide the pan over indirect heat to keep warm.
Grill the bratwurst over direct medium heat, with the lid closed as much as possible, until lightly charred on all sides, about 15 minutes, turning them every few minutes and swapping their positions as needed for even cooking. Then move the bratwurst to the pan over indirect heat. Smother them with the peppers and onion, close the lid, and cook until the bratwurst are fully cooked, about 10 to 15 minutes. If the pan is getting too dry, add a little more beer.
Serve the bratwurst warm in the buns with the spicy pepper mixture on top.