Preheat oven to 350°F. Spray a baking sheet with cooking spray and set aside.
Crumble and brown the sausage in a skillet over medium heat, until no longer pink. Drain, if desired.
Open the tube of pizza dough onto the prepared baking sheet and straighten the edges into a rectangle.
Sprinkle cooked sausage and Mozzarella cheese over the dough, leaving about 1-inch open along the edges.
Roll up the dough jelly-roll or cinnamon-roll style, crimping the seam closed and sealing and tucking the ends under.
Make sure the bread is seam-side down on the baking sheet. Brush the loaf with beaten egg.
Bake in preheated oven for 25-30 minutes, or until the crust is golden and the bread is cooked through.
Allow loaf to rest 10 minutes before slicing.
