Preheat the oven to 180C/gas 4. Pierce the chillies then toast over a gas flame or a hot grill until black and blistered. Place in a bowl, cover with clingfilm and leave to cool. When cool enough to handle, pull off and discard the skins then scoop out the seeds – or leave in if you want fireworks! Chop the chilli flesh and mix with the sausage, paprika and a pinch of pepper.
Sprinkle a work surface with flour. Cut the pastry in half and roll out into 2 strips, 50cm x 15cm each. Shape the sausage meat into 2 sausage shapes and place along the middle of each strip. Coat the pastry either side of the sausage with the egg mixture. Fold the pastry over and press down to seal.
Brush the tops of the sausage rolls with egg wash, sprinkle with cumin seeds and sea salt. Cut into 5cm lengths and place on a non-stick baking sheet. Bake for 20 minutes, until risen, puffed and golden brown.