Lay out the shrimp on a clean surface so the two halves are spread open like a book. Place a strip of mozzarella cheese in the center, then a strip of roasted pepper. Close the shrimp and wrap each one with a slice of prosciutto.

Place the flour in a small dish. In a separate dish, whisk together the egg, water and salt with a fork. Place the panko crumbs in a third dish. Heat the oil in a large skillet over medium to medium-high heat or until it reaches 375 degrees F (190 degrees C). Dip the wrapped shrimp in flour to coat, then dip in the egg mixture. Roll in the panko crumbs until evenly coated.

Fry the shrimp in the hot oil until golden brown and cheese is melting, about 1 minute per side. Remove with a slotted spoon and drain on paper towels before serving.