Prepare the grill for indirect cooking over medium heat (350° to 450°F).
Brush the cooking grates clean. In a large disposable foil pan over direct heat, melt the butter. Add the red and yellow bell peppers, onion, jalapeño, fennel seed, salt, and pepper and mix well with tongs. Close the lid and cook until the vegetables are tender and turning 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 heat, with the lid closed, until lightly charred on all sides, about 10 minutes, turning them every few minutes and swapping their positions as needed for even cooking. Add 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, 10 to 15 minutes. If the liquid cooks away, add a little more beer.
Serve the bratwurst warm in the buns with the spicy pepper mixture on top.