On a lightly floured surface, unroll the pastry into a rectangle. Set aside.
In a small bowl combine the cream cheese, Piquante peppers, and feta.
Spread the cheese mixture over the pastry and from the longer side, roll up the dough and pinch edge together to seal. Cut into 10 - 12 slices.
Place on a baking tray lined with non-stick foil and brush with the egg. Bake for 20-25 minutes until golden brown.
Notes
Why not try some different cheeses? Any goats cheese or mild crumbly cheese will go perfectly with the peppers.
Experiment with adding herbs and spices. Dried herbs such as rosemary, thyme, basil or oregano work well. If you like things spicy simply add a pinch of chili powder.