Step 1 Hydrate the ancho chiles by soaking them in a bowl of hot water for 15 minutes. Remove the chiles from the water, seed the chiles and set aside.
Step 2 In a food processor, add the egg and 1 tablespoon of lemon juice. With the processor running, very slowly add the olive oil in a thin, steady stream. Once about half a cup of oil has been added and the mixture has thickened, pour in the remaining 1 tablespoon of lemon juice. Continue to add the rest of the oil in a steady stream. Remove the mayonnaise to a bowl and set aside in the refrigerator.
Step 3In a food processor, grind the piquillo peppers and the hydrated ancho chiles in a food processor.
Step 4Fold the pepper-chile mixture, the bread crumbs, nuts, paprika and oregano into the mayonnaise. Add salt and cayenne pepper to taste.