Finely dice the red onion. Core and deseed the peppers and cut the flesh into 2 cm (¾ inch) squares. Slice the chorizo.
Heat the oil in a large frying pan over a high heat and cook the peppers for 2—3 minutes until they start to colour. Add the chorizo and fry for another 3 minutes, then reduce the heat to low and add the onion. Cook for a further 3 minutes. Deglaze the pan with the sherry vinegar and reduce for 1 minute.
Transfer the contents of the pan to a large salad bowl and leave to cool slightly, then toss with the oregano and rocket. Season with salt and pepper and serve with romesco sauce.