Take a prawn and wrap a piquillo round it (you might need to use 1½ piquillos to make sure you are completely covering the prawn), then wrap the pancetta around the piquillo so you cannot see any pepper – the fat of the pancetta should hold it together as it overlaps. Dip it in flour, to cover, then in egg and panko. Repeat with the remaining prawns.
Pour some oil into a high-sided pan or sauté pan and put on a medium-low heat. When the oil is hot, shallow-fry the rolls – they will be quite thick, so the heat needs to be gentle enough that the prawn in the centre cooks through without the breadcrumbs colouring too much. Drain on kitchen paper, season with salt and pepper, and serve.