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1
Preheat the oven to 350.
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2
Lightly brush a medium, shallow baking dish with olive oil.
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3
In a large skillet, heat 3 tablespoons of the olive oil.
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4
Add the minced garlic and the onion and cook over moderately low heat until softened, about 4 minutes.
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5
Add the mushrooms and season with salt and pepper.
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6
Cover and cook over moderately low heat until softened and just golden, about 7 minutes.
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7
Add the shrimp and cook, stirring, just until opaque, about 2 minutes.
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8
Stir in the flour and then the milk and bring to a simmer, stirring, until smooth.
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9
Stir in the parsley, bread crumbs and pimenton and season with salt and pepper.
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10
Stir in the egg yolks and remove from the heat.
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11
Continue to stir until the egg yolks are fully incorporated and the stuffing is thick, 1 to 2 minutes.
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12
Let cool.
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13
Make a lengthwise slit down 1 side of each piquillo pepper.
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14
On a work surface, open the peppers and spoon the stuffing into the center, overfilling them slightly.
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15
Close the pepper around the stuffing as neatly as possible.
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16
Transfer the stuffed piquillo peppers to the prepared baking dish, seam side down, and bake for about 15 minutes, or until they are heated through.
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17
Meanwhile, in a small skillet, heat the remaining 1 tablespoon of olive oil.
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18
Add the sliced garlic and cook over low heat until golden, about 3 minutes.
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19
Add the tomatoes and cook over moderate heat, stirring occasionally, until a thick sauce forms, about 12 minutes.
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20
Season with salt and pepper.
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21
Using a spatula, carefully transfer the stuffed piquillos to plates.
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22
Spoon the tomato sauce over them and serve.
