Preheat oven to 350°. Prepare roll mix dough according to package directions.
Meanwhile, in a large skillet, cook sausage over medium heat 8-10 minutes or until no longer pink, breaking into crumbles; drain. Stir in seasonings.
Divide dough into 4 portions. On a lightly floured surface, roll each into a 14x8-in. rectangle. Top each with 1-¼ cups sausage mixture to within 1 inch of edges; sprinkle with ½ cup mozzarella cheese and 2 tablespoons Parmesan cheese. Roll up jelly-roll style, starting with a long side; pinch seams and ends to seal.
Transfer to greased baking sheets, seam side down. In a small bowl, whisk egg with water; brush over loaves. Bake 20-25 minutes or until golden brown and heated through. Cool 5 minutes before slicing.
