Individual heart-shaped white porcelain molds with perforated bottoms are usually used for coeur a la creme, but they also work nicely for this pretty side dish.
Roast pepper by setting it directly over the flame of a gas burner and turning until skin is completely blackened. (If you don't have a gas stove, broil on top rack of oven.) Put into a small brown paper or plastic bag to cool.
Peel pepper (do not rinse). Pull out stem and seeds and discard. Cut along one indentation and lay flat on work surface. With a paring knife, cut along natural separations into heart-shaped sections. Line two 3 1/4-inch coeur a la creme molds with pepper pieces. Cover outsides of molds with foil and set aside.
Peel parsnips and cut into 2-inch pieces. Put in a small saucepan and cover with water. Add a pinch of salt and bring to a boil. Lower heat and simmer until soft, about 10 minutes. Drain.
Heat oven to 350 degrees. Put parsnips and butter in the work bowl of a food processor. Process parsnips, adding milk in a steady stream to make a smooth puree (you may not need all the milk). Add salt and pepper to taste. Add egg yolk and process 15 seconds. Fill molds with puree and bake until slightly puffed and golden. Carefully invert molds directly onto serving plates.