Melt the butter in a saucepan, add the onion and stir to coat. Cover and sweat gently over a low heat, stirring occasionally, for 15 minutes. Uncover and cook, stirring, for another 15 minutes. Cool, then season with salt and pepper.
Preheat the oven to 220°C/ 425°F/Gas mark 7.
Rub one side of each monkfish fillet with the paprika, and put one fillet on top of the other.
Cut the peppers into quarters, remove the seeds and cook, skin side up, under a hot grill until the skin blackens. Let them cool, then peel off and discard the skin and dice the flesh.
Put the aubergine on a baking tray. Brush with oil and sprinkle with salt and pepper. Grill until golden, then turn and brown the other side.
Roll out the pastry on a floured work surface until large enough to enclose the fish. Sprinkle the breadcrumbs lengthways along the centre of the pastry, and put the fish on top of the breadcrumbs. Top with the onion, then the red pepper, then the aubergine.
Brush the pastry edges with the egg. Fold the pastry over, pressing firmlytogether to seal. Brush with egg, then bake in the oven for 30 minutes. Slice and serve hot.