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Cook all the vegetables separately. You can do this in the microwave or by boiling them in salted water.
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Once cooked, drain well and set aside to cool. Rinse the vegetables briefly under cold water to speed up cooling and help maintain their bright colours.
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When the vegetables are completely cool, transfer them to a large bowl. Add the chopped pickles, tuna, extra virgin olive oil, vinegar, salt, and pepper. Mix until well combined to make the Russian Salad base.
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Mix in the mayonnaise until everything comes together into a smooth, creamy Russian Salad.
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Spoon 1 to 2 tablespoons of the Russian Salad onto each slice of ham, then roll it up like a cannolo.
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Serve cold or at room temperature.