Rub the frozen bread dough with vegetable oil, cover and allow to thaw overnight at room temperature.

Place sausage in a large, deep skillet. Cook over medium-high heat until evenly brown. Drain, crumble and set aside.

Preheat oven to 350 degrees F.

Roll out one loaf of bread and place on an ungreased cookie sheet. Layer cooked sausage, green peppers, and cheese on top of bread. Leave 1 inch border at the edges bare. Roll out second loaf of bread and place over bread and filling. Enclose filling by pinching edges of both loaves together.

In a small bowl, beat together egg and water. Brush surface of roll with egg wash. Bake in preheated oven for 25 to 30 minutes, or until golden brown.