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For the sesame tzatziki, mix all the ingredients together and chill until needed.
Up to a few hours before the party, heat the oven to 200C/fan 180C/gas 6 and line a baking tray with baking paper. Brush the tops of the buns with beaten egg, then scatter generously with sesame seeds and a little salt. Bake for 5 minutes until the tops are dry and crisp. Cool completely, then put in an airtight container until later.
To serve, heat the oven to 200C/fan 180C/ gas 6 and roast the merguez for about 30 minutes until browned and cooked through. Split the sesame buns lengthways and spread with some of the tzatziki. Sandwich in some rocket, roasted pepper and a merguez. Top with a dollop more tzatziki and add a pickled chilli if you like a spicy bite.