Knead dough as for parantha. Make flat rounds and pinch the edges to about 1/3 way towards the centre, to form a sort of a cup.
Take some filling, and place in the centre of the 'cup'. Wet the edges and bring together to enclose the filling. Pinch to seal.
Roll out as thinly as you can without tearing.
Fry the paranthas crisp and darker on both sides.