First, preheat your oven to 400°F and line a large sheet tray with parchment paper. Place your thawed bread dough on a clean, lightly floured surface. Then, carefully cut the dough into 8 equal pieces.
Using your hands, flatten each piece of dough into a square or circle that is about 4x4 inches in diameter. You don't need a rolling pin for this. Simply pressing and stretching the dough with your fingers works perfectly to get the right size and thickness.
Now for the best part—the fillings. Place 2 slices of pepperoni in the center of each piece of dough. On top of the pepperoni, add 2 of the quartered mozzarella cheese slices, followed by a light sprinkle of Italian seasoning over the cheese.
Fold the two outer sides of the dough over the filling. Then, roll the dough up tightly, pinching the seams firmly together to seal everything inside. Place each roll seam-side down on the prepared sheet tray, ensuring they are not touching.
In a small bowl, whisk the egg and the splash of water together to create an egg wash. Lightly brush this mixture over the tops and sides of each roll. This step is key to achieving that beautiful golden-brown color during baking.
Place the sheet tray in the preheated oven and bake for 10-12 minutes, or until the rolls are golden brown and cooked through. Let them cool on the tray for about 5 minutes before serving. This allows the cheese to set slightly.