Thaw frozen bread dough. Roll each loaf out to approximately 12×15 inch rectangle. Mix together egg, Parmesan cheese and Italian seasoning. Brush some of this mixture on center third of dough. Place pepperoni on this third and sprinkle Mozzarella over pepperoni. Fold over outside thirds and pinch ends and side seam to seal. Brush top with more of egg mixture. Bake on greased cookie sheet at 350° 1/2 hour. Serve with pizza sauce.
Variation: Divide dough into desired portions. Follow directions above to make individual pepperoni rolls. Reduce cooking time to 15 to 20 minutes.