Recently I had some anchovie involtini on my antipasti plate. I loved them, so I asked the owner for the recipe (and because I wanted to know if I just ate a bunch of carbs).
They were rolled in dried tomatoes and there were pine nuts in the filling. Other than that, I thought this should be easy to ketofy.
No measurements here, and you can easily adapt the flavour to your liking.
Filling:
- anchovies
- a small amount of Mozzarella
- a bit of parmesan cheese
- basil leaves, garlic powder + chili
- a few capers
- one dried tomatoe
- olive oil, just enough to get a thick, but blendable, consisteny
Just blend it, until the paste comes together.
And then, you just wrap it. Either in Serrano ham or grilled zucchini.
I imagine aubergines would work as well, but mine unfortunately burned 
.