Preheat oven to 375°F. Line a baking sheet with parchment paper and set aside.
In a glass measuring cup, whisk buttermilk and egg together until combined; chill in the fridge.
In a large bowl, whisk together flour, sugar, baking powder, paprika, garlic powder, and salt. Add butter and toss to coat. Use your fingers or a pastry cutter to work the butter into the flour mixture until the pieces are pea-sized or smaller. Put bowl in the freezer for 5 minutes to chill. Stir in cheese. Pour in buttermilk mixture and stir until fully mixed and a thick dough forms.
Turn out dough onto a lightly floured surface and pat out to 1/2-inch thick. Cut into 3-inch rounds, re-rolling scraps as needed. Arrange on prepared sheet pan and brush tops with half the melted butter. Bake for 18-20 minutes, or until golden brown and cooked through.
Brush with remaining melted butter and let cool 10 minutes.
Heat olive oil in a large, deep skillet over medium-high heat. Add chicken sausage and cook until golden on the edges and crispy, 5-8 minutes. Transfer to a plate.
Melt butter in the pan and add onion, bell pepper and celery. Season lightly with salt and pepper, and cook until softened but not browned, 7- 10 minutes. Stir in garlic, cajun seasoning, Old Bay seasoning, and flour and cook until about 2 minutes.
Slowly add broth, whisking constantly until smooth and thick. Whisk in cream and mustard. Bring to a boil, reduce to a simmer and cook, whisking, until sauce is thick, about 5 minutes. Stir in corn and chicken sausage.
To serve, divide gravy among 4 plates and serve with cheddar biscuits. Garnish with sliced green onions and torn parsley.