Finely chop the chocolate and place it in a bowl.
Heat the heavy cream in a saucepan. Pour the hot cream over the chopped chocolate. Stir until the chocolate is completely melted and smooth.
Finely chop the chili pepper and stir it into the chocolate mixture. This will infuse the cream with a spicy flavor.
Lay out each sheet of strudel dough individually on a clean kitchen towel. Brush each sheet with a little melted butter.
Evenly spread the chocolate cream over the strudel sheets. Roll them up carefully, ensuring the filling doesn't leak out.
Place the strudels in a greased baking dish.
Whisk the egg and brush it over the top of the strudels to give them a beautiful golden-brown color during baking.
Bake in a preheated oven at 350°F (180°C) for 30-40 minutes, or until the strudels are golden brown and crispy.
Before serving, let the strudels cool slightly. Slice and serve warm.
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