Mix flour, butter, egg yolks, salt, sugar and paprika with enough water to make a soft homogeneous dough. Set aside for a few minutes.
Cut cheese in strips (½ x 2 inches).
Divide dough in 3 parts, rolling each part very thinly. Then cut 1-inch strips, brush borders with egg white and roll, covering cheese strips completely. Egg white helps in sealing borders.
Fry in hot shortening until golden.
Serve hot. Usually served with avocado dressing.
Variation: Tequeños can be also prepared with Won Ton wraps, instead preparing dough.