Heat the oil in a frying pan, add the chilli and onion and gently fry for 5 minutes until softened. Remove from the heat and leave to cool. Stir in the chorizo, coriander and a little salt.
Roll out the pastry on a lightly floured surface to a 40 x 30 cm (16 x 12 inch) rectangle. Mix the egg yolk with the measurement water and brush thinly over the pastry. Spread the chorizo mixture in an even layer on top. Roll up the pastry, starting from a long side. Wrap in clingfilm and freeze for 30 minutes.
Trim off the ends of the pastry log and cut across into 1 cm (½ inch) thick slices. Lay the slices on a floured surface and roll lightly with the rolling pin to flatten. Place on 2 greased baking sheets.
Brush with a little more of the egg yolk mixture and bake in a preheated oven, 220°C (425°F), Gas Mark 7, for 10 minutes. Press down the centres of the pastries using the back of a spoon if risen, then return to the oven and cook for a further 5 minutes or until golden. Transfer to a wire rack to cool slightly, then serve warm or cold.