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Heat the oil in a small frying pan over a medium heat and cook the shallots for 5 mins until soft but not golden. Remove from the heat and cool slightly.
Squeeze the sausagemeat from the skins into a large bowl. Mix in the tomatoes, fennel seeds, sage, cooled shallots and some seasoning using your hands until evenly combined. Set aside.
Unravel the pastry onto a lightly floured surface. Form half the sausage mix into a long log lengthways over the middle of the first sheet of pastry. Brush the exposed border with beaten egg, then fold one edge over the filling to join the pastry on the other side and enclose the filling. Seal the edge using a fork. Using a sharp knife, cut the long sausage roll into four or eight even pieces, then repeat with the remaining pastry and the rest of the sausage mix.
Arrange the rolls over one or two baking sheets lined with baking parchment, then chill for at least 20 mins or overnight. Can be made and chilled a day ahead or frozen for up to a month. To bake from frozen, add 10 mins to the cooking time in step five.
Heat the oven to 200C/180C fan/gas 6. Brush the sausage rolls with the remaining egg and scatter over the nigella seeds. Bake for 30-40 mins, or until the pastry is golden and the filling is cooked through. Remove from the oven and leave to cool on the sheets for at least 15 mins before eating.