Spray a 10-inch nonstick or iron oven-safe skillet with cooking spray, and heat over medium-high heat. Add sausage and onion, and saute until sausage is cooked through, about 7 minutes.
While meat cooks, whisk together eggs, Cajun seasoning, and milk. Set aside.
Stir salsa into the sausage, and turn off heat. Transfer sausage mixture to a colander to drain. Carefully (it’s hot!) wipe skillet clean with paper towels, then heat over medium-high heat again.
Spray bottom and sides of skillet very well with cooking spray. Return sausage mixture to the hot skillet, and evenly spread over the bottom. Pour whisked eggs over the sausage, and sprinkle cheese over the top.
Without stirring, cook until eggs are set, about 5 minutes. Then, transfer entire skillet to the oven, and broil for about 3 minutes until browned. Cut into wedges to serve.