On a medium baking sheet, toss peppers with EVOO. Place in the oven and roast until brown and tender, about 10 minutes. Remove them from the pan, chop, and set aside. Switch oven to 400°F.
Wrap the tortillas in damp towel and microwave for 30 seconds.
While the tortillas are heating up, mix up the egg with a splash of water to make an egg wash.
Working with one tortilla at a time so the remaining tortillas remain moist, brush each with egg wash then cut into 16 equal wedges.
Wrap a "smokie" up in a tortilla wedge, starting from the wide side and rolling to the point.
Repeat with the remaining tortillas and sausages. You will have about 40-45 roll-ups.