1. Preheat the oven to 150°C, gas mark 2. Combine the flour, 1 tsp fine salt and yeast in the bowl of a stand mixer fitted with a dough hook. Gently warm the milk, butter and sugar in a small saucepan until the butter has just melted then remove from the heat. Start the mixer running then pour in the milk mixture and knead for 5 minutes. Alternatively, combine the ingredients in a large bowl, turn out onto a clean work surface and knead for 10 minutes. Transfer the dough to a lightly greased bowl, cover with clingfilm and leave to prove in a warm place for an hour until doubled in size.
2. Meanwhile, make the filling. Arrange the tomatoes cut side up on a non-stick baking tray, season and roast for 40 minutes until soft. Remove from the oven and leave to cool. Meanwhile, heat a large dry frying pan over a medium heat, add the chorizo and cook for 5-6 minutes until crisp. Remove from the pan with a slotted spoon and transfer to a bowl. Add the onions, garlic and thyme to the chorizo oil and cook over a low heat for 15-20 minutes, stirring regularly until soft and caramelised. Remove from the heat, combine with the chorizo and leave to cool.
3. Once the dough has doubled in size, knock the air out then turn out onto a lightly floured work surface. Roll out to a large rectangle shape (40 x 25cm), then spread the cooled chorizo and onion mixture over in an even layer. Dot the tomatoes over the top then roll the dough up tightly starting on the long edge closest to you. Lay the roll seam-side down on the work surface then cut into eight equal pieces. Arrange the pieces in a lightly greased deep roasting tray, roughly 24 x 30cm; the pieces should have a 1cm gap between to allow them to rise. Cover the tray with clingfilm or a clean tea towel and leave to prove in a warm place for 30 minutes.
4. Increase the oven temperature to 190°C, gas mark 5. Unwrap the tray and bake the bread for 20 minutes until risen and golden. Whisk together the egg and oil with a pinch of salt for the glaze and brush over the surface of the bread then return to the oven for 5 minutes. Transfer to a wire rack to cool for 15 minutes before serving warm.