Halve the peppers and cook for about 20 minutes in the oven with the skin facing upwards at around 180ºC. The skin can get dark. When they have cooled down a bit, peel off the skin.
Roll out the puff pastry on a floured work surface. Add the peppers cut into strips and the whole chorizos on top and form into two rolls, like a roulade. Cut the rolls into pieces about 2 cm long. In the cut you can see puff pastry on the outside, then paprika and in the middle the sausage.
Place the pieces on a baking sheet lined with baking paper, brush with the egg yolk and bake in a preheated oven at 180ºC until the puff pastry has risen and is golden yellow.