Step 1Hydrate 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 2In 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.
Step 1In a large bowl, toss the rabbit, lamb and chorizo with olive oil, lemon juice and mashed garlic. Allow to marinate for at least one hour.
Step 2Heat a grill to medium-high heat, or until the coals are gray if using a charcoal grill. Lightly season the rabbit with salt and pepper. Place the rabbit on the grill. Cook until the juices run clear -- about 15 to 20 minutes -- turning frequently.
Step 3After the rabbit has cooked 10 minutes, start grilling the lamb and chorizo. Lightly season the lamb with salt and pepper. Grill the lamb about 2 to 3 minutes on each side until medium-rare. Grill the chorizo, turning occasionally, until heated through and slightly charred, about 6 to 8 minutes total.
Step 4Serve the grilled meats with the romesco sauce.