To make the bases, roll out the puff pastry to make a 25 x 38 cm (10 x 15 inch) rectangle, about 3 mm (⅛ inch) thick. Trim the edges and cut the pastry into 12 cm (4½ inch) squares — you should make six squares in total. Remember, when cutting puff pastry do not drag the knife through the pastry, cut the pastry from the top down. Lay the squares on a baking tray lined with baking paper, leaving a 3 cm (1¼ inch) space between each one. Brush the edges of each square with egg wash.
Cut the capsicums into quarters and remove the seeds and membrane. Place the capsicums, skin side up, under a hot grill (broiler) and grill until the skins blacken. Cool in a plastic bag, peel the skin and cut the flesh into strips.
Preheat the oven to its highest temperature. Spread 2 tablespoons of caramelised onion over each pastry square, leaving a 2 cm (¾ inch) border around the edges. Lay three anchovies across the centre, then lay four strips of red capsicum on top, making a criss-cross pattern. Scatter with the olives and pieces of the goat’s cheese and drizzle with the olive oil.
Cook the pissaladière for 15 minutes, turning the tray after 10 minutes, until the base is cooked through. Allow to cool slightly on the trays before serving.