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Preheat oven to 400 degrees and line a baking sheet with parchment or a silicone baking mat.
Press or roll dough balls into circles at least ¼-inch bigger than the diameter of your pepperoni (for me, that was about 4 ½-inch circumference). Try to avoid using flour on your surface, which will make the dough harder to pinch closed.
Mix beaten egg with Parmesan and spread a heaping teaspoon of the mixture over each circle, leaving at least ¼-inch around all sides.
Top with pepperoni and two squares of mozzarella. Sprinkle with oregano.
Roll tightly, tuck in ends, and press all edges tightly with your fingertips until well sealed.
Place rolls on the baking sheet, brush with olive oil, and bake for 10-12 minutes or until golden brown. Transfer to a cooling rack. Serve warm or cold with pizza sauce on the side for dipping.
Keep any leftovers refrigerated in an airtight container.