Add the sausage to a skillet over medium-high heat and cook until the sausage is browned. Remove from the skillet and set aside. Drain and discard any remaining oil from the skillet.
Reduce the heat to medium and add the oil to the skillet. When hot, add the onion and cook for several minutes, stirring occasionally, until soft. Add the bell pepper and cook for several more minutes, until soft.
Add the garlic, salt, and black pepper. Mix to combine and cook for another minute or so.
Remove the mixture from the pan and set aside.
Preheat the oven to 375 degrees F. Add the beaten egg to a small bowl with 1 tablespoon of water and mix. Set aside.
Work with half the dough to start, and roll it out on a lightly floured work surface. Form the dough into an oval shape, sized about 12-inches long by 7-inches wide. Add half the sausage, then half the pepper and onion mixture to the dough, leaving about 2 inches around the edges. Sprinkle half the cheese over the top.
Start with one side of the long edge of the dough, and carefully roll it to the other side. Fold and seal the short edges of the dough inward, and use your fingers to press down lightly and seal the long edge.
Place the roll, seal side down, on a baking sheet. Use a sharp knife and cut 3 or 4, 1-inch long slices into the top of the roll to serve as air vents.
Brush the egg wash over the top and sides of the roll.
Repeat with the remaining ingredients.
Bake for about 20 minutes, until golden on top. Remove from the oven and let stand for 5-10 minutes before slicing and serving with your favorite marinara sauce.