Combine ground beef, egg, garlic, panko bread crumbs, parsley, Worcestershire sauce, milk, salt, and pepper in a large bowl. Mix until all ingredients are well combined.
Preheat oven to 400 degrees F. Line a baking sheet with parchment paper, set aside.
Form meatballs by using your hands to roll them into 2-tablespoon sized balls. Place them on a parchment lined baking sheet. You should come out with about 12 meatballs.
Use your finger to make a hole right in the center of each meatball. Stuff each meatball with a mini mozzarella ball. Use your hands, once more, to roll each meatball and cover the opening of the hole. Place them back onto the baking sheet.
Place into oven and bake for 15-18 minutes or until an instant-read thermometer measures internal temperature to be 160°F.
While meatballs bake, make the roasted red pepper sauce by combining roasted red peppers, basil, garlic cloves, olive oil, paprika, salt and pepper in a blender or food processor. Blend the ingredients until the sauce is smooth.
Heat skillet over medium heat and add roasted red pepper sauce to the skillet. Stir and cook for 3 minutes. Lower heat to medium/low and add cream. Stir to combine and cook for 1-2 more minutes until the sauce is heated through.
Once meatballs are finished baking, remove from oven and transfer them to the skillet with sauce. Spoon the sauce over meatballs and serve immediately.