Preheat oven to 400 degrees F.
Lightly grease 2 large baking sheets.
On a lightly floured surface arrange pastry sheet with a short side facing you and cut in half crosswise.
Arrange a half of the sheet with a long side facing you and brush edge of far side with some egg. Arrange 1/2 the prosciutto evenly on top of pastry, avoiding egg-brushed edge. Lay 1/2 the pepper strips lengthwise along side of pastry facing you.
Starting with side nearest you, roll pastry jelly-roll fashion and wrap in waxed paper. Make another log in same manner.
Chill pastry logs, seam sides down, until firm, at least 20 minutes
Cut logs crosswise into 1/2-inch-thick pinwheels and arrange, cut sides down, 1-inch apart on baking sheets.
Bake pinwheels in batches in middle of oven until golden, about 14 to 16 minutes.
Transfer pinwheels to a rack and cool slightly.