No one knows why toad in the hole is so-called, though it sounds suitably archaic, English and bucolic. Perhaps. A Captain Francis Grose wrote his A Provincial Glossary in 1787 and this appears to be the first mention, though tantalisingly without explanation.
Mrs Beeton described it as a "homely but savoury dish" in her famous 1861 Book of Household Management, but in the 19th century the Yorkshire pudding batter was combined with any kind of meat.
Using sausages seems to have been a 20th-century innovation, accelerated by the vicissitudes of the Second World War, when a shortage of proper meat firmly entrenched the sausage in its battered fastness. And in the nation's affections; no surprise that it was one of Captain Mainwaring's favourites in Dad's Army.
Variation has other scraps being chucked into the batter – bacon, vegetables, any old herbs, what have you. Delia Smith, herself a Minor British Institution, suggests serving it with roasted onion gravy and mash.