I understand that the pickle is not there for temperature, it’s kind of obvious. But to cook this food, you’ll first transfer heat from the frying oil into the corn thing, then into the cucumber, and finally into cooking the sausage. The cucumber will be hot before the sausage warms up.
The cucumber also likely has considerable amount of thermal mass due to being some high 90% of water, and the corn thing probably works as insulation to keep the heat from escaping.
It really looks like something that would burn your mouth in an instant