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To make the pastry, put the flour, butter and cayenne pepper into a food processor, then whizz into fine breadcrumbs. sprinkle the egg and water mixture onto the flour and pulse again until the mixture begins to come together. Tip the mixture onto a board, then gently squeeze the pastry until it begins to come together in a ball, adding more water if it feels dry. Divide the mixture in half, roll each piece into a 12 x 30cm rectangle and slip onto a baking sheet. Do not chill.
Heat oven to 200C/fan 180C/gas 6. Mix the filling ingredients together, except one egg yolk, which you need for glazing, in a food processor. Divide in two and roll each into a 30cm-long sausage shape. Lay a cheese sausage on one side of the pastry. Brush the sausage and pastry with egg yolk and fold the pastry over the top to encase the sausage. Seal the two edges, trim the ends, then cut into 2cm pieces. Arrange on a baking sheet and chill for 30 mins.
Brush the rolls with a little more egg yolk, place herbs on top, if you like, then bake for 12-15 mins until golden brown.
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