Preheat oven to 350 degrees F. Place the pepper in a roasting pan and roast in the oven, checking every 15 minutes, and turning with tongs until the skin is fully wrinkled and charred black. When the peppers is done, use tongs to put it into a ziptop bag which (for safety reasons) you have resting on a plate - (Remember, it is volcanically hot!). Carefully zip the bag shut, and allow the pepper to sweat for 5 minutes. Use oven mitts to prevent getting burned while you handle the bag in the next step of sliding the pepper from the bag into a bowl filled with a couple of inches of ice water. You can then use your fingers to work quickly to slip off and discard the skin of the pepper while it is in the water. You will be left with a beautifully cooked red pepper with a wonderful color. Cut open the pepper and remove seeds. Slice it into strips and set aside.
Roll out each puff pastry sheet and on the surface of each of the 2 sheets evenly arrange 4 slices of prosciutto ham, 6 spinach leaves, half of the red pepper strips, 1/8-cup Cheddar, and 1 tablespoon Parmesan. Roll up the dough "jelly roll" style into a log (so the cross-section of the roll will be a spiral design, the "pinwheel"). Place the logs in the freezer for 50 minutes.
Preheat oven to 350 degrees F. Remove "pinwheel" logs and from freezer and cut into 1/2-inch thick slices and place on a baking sheet. Brush with egg wash. Bake until golden brown, approximately 15 minutes.