Using a rolling pin, roll out the remaining dough into an oval shape approximately 30 cm long by 26 cm wide and 1 cm thick. Lay strips of capsicum across the width of the dough leaving a 1-2 cm gap between them (reserve some of the capsicum for the garnish).
Remove clingfilm and brush dough with beaten egg. Bake dough in oven for 20 minutes. Remove from oven and carefully cut out the top of the central plain roll leaving a 1-2 cm edge.
*Yellow capsicum: Preheat oven to 200°C fan. Roast a whole capsicum in a small baking dish in the oven for 30 minutes. Remove from oven, transfer to a bowl and cover with clingfilm. Leave to cool for 30 minutes then remove the skin, stem and seeds. Dry the capsicum flesh on kitchen paper and cut it into long strips that are approximately ½ cm wide. Reserve & chop about four strips for garnish.