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1. Place shrimp and marinade ingredients in large zip bag, and let defrost in refrigerator overnight.
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2. Mix sauce ingredients; transfer to a plastic, covered container and refrigerate until ready to use.
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3. Prepare appetizers: On a lightly floured surface, unfold one sheet of Puff Pastry and roll out to eliminate fold marks and to get a nice, even square. With a sharp knife, cut down the center both vertically and horizontally to create four equal squares. Then cut each square both vertically and horizontally to create four small squares. You should be able to create 16 small squares from each sheet of Puff Pastry.
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4. Drain thawed shrimp and pull off tails.
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5. Remove a small square to a cutting board work surface. Place one piece of red bell pepper and one piece of green bell pepper diagonally onto the square. Make sure that a little green is peeking out of one side and a little red is peeking out of the other side. Lay one shrimp on top of the peppers. Fold Puff Pastry corner to corner over the peppers and shrimp. Use a little water to stick the corners together and use a fork to seal the corners completely. Wrap the corner up and over the top of the appetizer (you won't see the fork marks at all when you do this). Seal again with a tiny amount of water, if necessary. Place appetizer on parchment-lined (or greased) baking sheet. Repeat with remaining squares of Puff Pastry, shrimp and peppers. Cover with plastic wrap and refrigerate until ready to bake.
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6. When ready to serve, take off plastic wrap and brush each appetizer with egg wash. Bake in preheated 400 degree F. oven for 15 to 20 minutes, or until golden brown.
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7. To serve, move appetizers to a platter. Scoop southwestern sauce into a zip baggie. Snip a small piece off of the corner and drizzle onto each Puff Pastry bite. Place a cilantro leaf onto the top of each appetizer; serve immediately.
