It's always best to roast and peel your green chiles to remove the tough outer skin. In NM, they roast a bunch at once and you take them home to peel them. For a sausage green chili egg bake, you can either use thawed frozen green chile or canned green chile. Like most recipes, green chili casserole will probably taste better if you buy fresh green chiles, roast them yourself, and then peel and dice them - having never been frozen or canned, the diced green chilis will hold more fresh flavor and a nice texture.