My research(basically wikipedia) shows that natural sausage casing is made from a layer from the intestines of animals such as sheep and cows. The alternative to natural casings are artificial casings. The most common edible kind is the collagen casing, typically made from animal hides. This isn't vegetarian either. The remaining kinds, cellulose and plastic, aren't edible and are usually removed to form skinless franks.
Are there alternatives in the market? Is it possible to produce a substitute casing at home using skins from vegetables or fruits(like the peeled off skin of an apple, given that it can be reshaped)?
I all do honesty, I'm not even sure what properties a proper sausage casing should exhibit. I don't know if they should be water proof or how they should react to heat.
Edit
I didn't take into account that different properties in the sausage casing are desired based on the cooking method. I prefer a sausage casing that I could par-cook/poach franks in. I was looking to adapting a recipe for beef franks to use lamb instead as well as attempting to create a vegetarian mix to see if I could make a reasonable facsimile to a real hotdog.
I don't want this question to be localized, so I'll leave my specific reasons for wanting a vegetarian casing aside, however it would be useful to those who have dietary certain restrictions (like only eating halal meats or if one in a vegetarian or vegan) to make sausages at home instead of purchasing them in stores.
Best Answer
If you're looking to parboil, likely your best bet is one that you've already dismissed -- inedible casings that you'd remove after cooking. You might even be able to get away with clingfilm, parchment paper or non-stick aluminium foil.
If you really want an edible casing, they do exist, just enter 'vegetarian sausage casing' into your preferred internet search engine, and you should find them. (I assume they're all reselling the same product, as the only option I've found is for 15/16", ~10lb strand)
As you also mention that part of your issue is not wanting to eat intestines, there are also collagen casings which are more readily available, but aren't vegetarian.
update:
To deal with the issue of packing the sausage so you don't have air bubbles :
Place a line of meat down the center of what you're using, roll it up tightly, then seal the ends.
To get the meat lined up tightly: fold the back end of the sheet over the front, hold down the edges and use the edge of a sheet pan to press the meat tightly towards the back. If you're using something that might tear easily (eg, aluminum foil), you can work on top of another sheet of paper (waxed, butcher, freezer, etc.) and fold it over before pushing back, but don't roll it up to make the final sausage.