Take each piece of bread and smash it flat. Place 2 slices of pepperoni in the center of the bread layer with 1 tablespoon of mozzarella cheese. Pull corners to the center, pinch edges together. Use your fingers or a brush and seal seam with egg. Place assembled pizza bomb seam side down. Repeat assembling, until all the pizza bombs are assembled.
Meanwhile, heat oil in a medium heavy-bottomed pot over medium-high heat until a thermometer reads 350 degrees. Set a wire rack in a rimmed baking sheet.
Working in batches, drop pizza bombs into oil. Cook, turning once, until browned and puffy, 3 to 4 minutes. Transfer to rack with a slotted spoon. Let cool slightly. Serve warm with pizza sauce.
