Pigs-in-a-Blanket with Chorizo, Membrillo, and Manchego
['1 large egg', '"One 14- to 17-ounce box puff pastry (preferably all-butter puff, see Cooks Note), thawed according to package directions", 2 pounds fully cooked chorizo-style sausage (not dried Spanish-style chorizo), halved lengthwise if thick, cut into 32 pieces (about 2 1/2 inches each)', '1/3 cup membrillo (quince paste)', '1/3 cup grated manchego cheese, plus more for sprinkling', 'Pimentón (smoked Spanish paprika)', 'for sprinkling']
Preheat the oven to 400°F. Set racks in the upper and lower thirds of the oven. Line two 13x18-inch baking sheets with parchment paper. In a small bowl, beat the egg with 1 tablespoon water. Prep the ingredients for the filling and set aside.
If using a 17-ounce package of puff pastry, roll each sheet to a 9x12-inch rectangle on a lightly floured work surface. Cut each piece lengthwise into eight 1 1/2-inch wide strips. Cut each strip crosswise into two pieces, about 4 1/2 inches long. You should have 32 pieces of pastry.
Spread the center of each piece of pastry with 1/2 teaspoon membrillo and top with 1/2 teaspoon manchego. Brush one narrow end of the pastry with egg wash, add a piece of sausage, and roll to enclose. Place on parchment-lined baking sheets, seam-side down. Brush the top of each pastry with egg wash and sprinkle with additional manchego and pimentón. Refrigerate for 15 minutes. Bake pastries until golden brown and puffed, 23 to 27 minutes.
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