For the croquetas, melt the butter in a large saucepan, then whisk in the flour and cook for 2-3 minutes. Whisk in the milk gradually until you have a very thick sauce. Season with salt and pepper.
Stir in the fresh breadcrumbs, chicken and tarragon, then place in the fridge to chill for 3-4 hours.
Shape the chilled mixture into 7cm/2¾in cylinders. Place the flour, beaten eggs and panko breadcrumbs in three separate bowls. Add the ground almonds to the panko breadcrumbs and mix well. Coat each cylinder in the flour, then egg and finish with a layer of breadcrumbs.
Add the oil into a deep-fat fryer and preheat to 170C/338F. (Caution: Do not leave hot oil unattended.)
Deep fry the croquetas in batches until golden-brown. Remove and drain on kitchen paper.
For the mayonnaise, whisk the egg yolks with the mustard in a bowl and then gradually add the oil, whisking continuously. Stir through the vinegar, piquillo peppers and parsley, then season with salt and pepper.
To serve, put the croquetas on a board with the watercress alongside and a bowl of pepper mayonnaise for dipping.