1. Heat oil in skillet over medium-high heat. Add asparagus, bell peppers, and onion, and sauté 5 to 10 minutes, or until vegetables begin to soften. Add spinach, and cook 3 to 4 minutes, or until spinach wilts. Stir in pesto. Cool.
2. Whisk egg in bowl, and set aside. Cut 15- x 10-inch piece of parchment paper, and set on work surface. Place 1 sheet puff pastry on parchment paper. Lift parchment with puff pastry, and place parchment-side-down in 9-inch loaf pan. Press pastry into pan, being careful not to let folds get caught in parchment and allowing excess parchment and pastry to hang over sides. Cut squares from second puff pastry sheet, and press onto short sides of parchment-covered pan to make dough shell. Prick bottom of puff pastry all over with fork.
3. Spread goat cheese over bottom of puff pastry. Top with asparagus mixture. Fold excess puff pastry over vegetables, and brush edges with egg.
4. Cut 91/2- x 51/2-inch piece of puff pastry from remaining sheet. Set on top of asparagus mixture, pressing to seal edges. Refrigerate 30 minutes, along with unused pastry scraps and egg.
5. Preheat oven to 425°F, and place oven rack on second-lowest level. Brush top of Wellington with egg, and poke 2 or 3 holes in top. Cut decorative leaves and stems from remaining pastry, press onto top of Wellington, and brush with egg. Use tip of small knife to score leaves and top with decorative touches.
6. Bake Wellington 15 minutes. Reduce oven heat to 350°F, and bake 45 minutes more. Cool 15 minutes.
7. Use parchment to lift Wellington from loaf pan. Remove parchment, and transfer Wellington to flat serving plate. Slice, and serve with tomato sauce.