Finely dice the bell peppers, red onion, and andouille; mince the garlic; drain, pat dry, and roughly chop the crawfish; and shred the cheeses.
Cook the diced andouille in a large skillet over medium heat for 4 to 5 minutes until browned, leaving the flavorful fat in the pan.
Melt the butter into the sausage, then cook the bell peppers and onion for 4 to 5 minutes until soft. Add the garlic and cook 30 seconds until fragrant.
Add the crawfish, Creole seasoning, smoked paprika, and cayenne, stirring for 2 to 3 minutes until warmed through and coated in the spices.
Pour in the heavy cream and simmer gently for 2 to 3 minutes until thickened and clinging to the filling, then remove from the heat.
Let the filling rest 2 minutes, fold in both cheeses, then spread on a baking sheet and cool at least 20 minutes (or chill 10 minutes) until thick enough to scoop.
Whisk the egg and water for the egg wash. Lay a wrapper in a diamond shape, add about 1/3 cup filling, fold the bottom corner up and tuck, fold in the sides, brush the top corner with egg wash, and roll tightly to seal. Repeat with the rest.
Pour about 2 inches of peanut oil into a Dutch oven, clip on a thermometer, and heat over medium to medium-high until the oil reaches 350°F.
Lower 3 or 4 egg rolls into the 350°F oil and fry for 3 to 4 minutes, turning occasionally, until deep golden and blistered. Let the oil return to 350°F between batches.
Drain on a wire rack set over a baking sheet, rest 3 to 5 minutes since the center is very hot, and serve warm, halved on the diagonal if desired.