Combine the barbecue sauce, peach preserves, and cayenne pepper in a medium bowl. Set aside.
Preheat the grill and oil the grilling grate, if needed. Thread the meatballs onto skewers, then grill over indirect heat until the meatballs are heated through. Brush the peach barbecue sauce over the meatballs and continue cooking for 2 to 3 minutes.
To Make Meatball Subs:
Lightly toast the hot dog buns over indirect heat on the grill. Place 3 to 4 meatballs into each bun and top with desired amount of shredded cheese and cabbage. Serve immediately.
Notes
Make-ahead directions:
Add the barbecue sauce, peach preserves, and cayenne pepper to a large ziplock bag. Add the frozen or thawed meatballs and toss. Seal the zip-top bag and refrigerate up to 24 hours. To serve, heat the meatballs in a large skillet over medium-high heat until heated through.