Preheat oven to 375°F and line a baking sheet with parchment paper.
Toss sweet potatoes, peppers, shallot, olive oil, salt, and pepper on the baking sheet. Roast until potatoes are tender and golden brown, about 30 minutes, tossing halfway through.
While vegetables roast, whisk eggs with smoked paprika and salt in a bowl.
Cook eggs in a large non-stick pan over low heat until just scrambled.
Warm tortillas slightly to make them more pliable.
Assemble burritos by layering eggs, roasted sweet potato mixture, cheese, and cilantro.