In a large bowl, mix together the orange juice concentrate, lemon juice, rice vinegar, orange zest, garlic powder, nutmeg, and brown sugar; stir to dissolve the sugar.
Stir the cocktail sausages into the orange mixture to coat; pour the sausages and sauce into an 8x8-inch baking dish.
Bake in the preheated oven until bubbly, 30 to 40 minutes. Stir every 10 minutes.
In a small bowl, whisk the cornstarch and water to make a smooth paste.
Remove the sausages from the sauce with a slotted spoon and place into a serving dish. Pour the sauce into a saucepan.
Set the sauce over medium heat and cook until simmering; stir the cornstarch mixture into the sauce, and whisk until smooth and thickened, about 2 minutes. Pour the sauce over the cocktail sausages to serve.