Heat a large skillet over medium-high heat. Add the merguez and cook until deeply browned, 4 to 5 minutes. Transfer to a plate.
Add olive oil to the skillet, then garlic, mushrooms, bell peppers, and baby corn. Stir-fry until vegetables soften and take on color, about 3 minutes.
Return the merguez to the pan. Add udon noodles, teriyaki sauce, chili sauce, salt, and pepper. Toss until noodles are coated and heated through, 2 to 3 minutes. Serve immediately.