Prego with piri piri sauce easy and quick recipe. These sandwiches are best made by grilling the steak outside. Just cook the steak in a ripping-hot cast-iron pan. Use a soft bread roll like a ciabatta roll or other flour-dusted roll will work well. It’s hard to go a day in deep without eating something that’s touched with piri piri sauce. The sauce, made with chiles, citrus, and oil, is Portuguese in origin, but peri is actually the Swahili word for chile and refers to a specific type of chile pepper that is said to have been first cultivated in Africa.