Heat the oil in a large frying pan, then add the peppers and onion. Cook for 10-15 minutes until just softened, then transfer to a bowl and keep warm.
Using the same frying pan, cook the chorizo slices over a high heat for 3-4 minutes, turning occasionally, until just crisp.
To serve, divide the coleslaw between the baguettes, adding a handful of rocket to each one. Top with the red peppers, onion and chorizo.