On a rimmed baking sheet, combine the tomatoes, onion, jalapeno, garlic, chiles, paprika and 2 tablespoons of the olive oil; season with salt and pepper and toss well.
Roast for about 40 minutes, until the vegetables are caramelized.
Meanwhile, spread the hazelnuts and almonds in a pie plate and toast for about 12 minutes, until deep golden.
Transfer the hazelnuts to a clean kitchen towel and rub off the skins.
In a food processor, pulse the nuts until a paste forms.
Add the caramelized vegetables, 2 tablespoons of the olive oil and the sherry vinegar and pulse until the romesco is slightly chunky.
Heat a grill pan.
Rub the fish with the remaining 2 tablespoons of olive oil and season with salt and pepper.
Add the fish to the pan and grill over moderate heat, turning once, until nicely charred and cooked through, 4 to 5 minutes per side.