Shell and clean the scallops. Wash well to remove any traces of sand and grit. After washing, dry them really well as they tend to hold a great deal of water; if they are too wet, this will affect the finished mousse.
Drop the whole peppers into hot fat for a couple of minutes until their skins begin to blister. Allow to cool, then remove the skins and cut the flesh into quarters. Remove the seeds and cut again into 3 mm/⅛ inch dice.
Remove the roes from the scallops and cut into dice of about 5 mm/¼ inch; set to one side. Roughly cut up the white meat and purée in a blender or food processor along with the salt until smooth. Add the egg whites and beat in the machine until the mixture stiffens, then remove from the bowl and pass it through a sieve into a bowl set on crushed ice. Gradually and gently add the cream, mixing in well. When two-thirds of the cream has been added, add the egg yolk, sherry, nutmeg and a few turns of freshly ground white pepper. It is always best to test the mousse before adding all of the cream, it may not need it all and it may need a little more seasoning. The mixture should hold together but should be light and soft to the touch. If it is still a little rubbery, then add more cream and test again.
Mix the diced peppers and roes through the mousse mixture. Butter a 28 cm/11 inch terrine mould, place about a third of the mixture in it and press in well to exclude any air. Repeat this process until the dish is full. Cover with buttered foil and place the lid on top. Allow the terrine to stand for 30 minutes to rest before cooking.