Preheat the oven to 220C/425F/Gas 7.
Wrap the pastry strips around the chorizo and brush with the beaten egg. Place onto a baking sheet and place into the oven to bake for 10 minutes, or until the pastry is golden.
For the marmalade, place the oil in a saucepan over a medium heat. Add the onions and fry for three minutes to soften. Add the remaining ingredients and cook for 7-8 minutes, or until thickened.
To serve, slice the sausage roll into three pieces and place onto a plate with a tablespoonful of the marmalade alongside.