Preheat an oven to 350 degrees F (175 degrees C). Whisk egg and water; set aside.
Combine chicken, bacon, bell pepper, 1 cup barbecue sauce, and 1 cup of shredded cheese blend. The barbecue sauce should coat the meat; if the mixture is too dry, add more sauce.
Unroll dough on smooth, clean, well-floured surface, and spread or roll out to 1/4 inch thick, keeping rectangular shape. Spread the chicken mixture down the middle of the dough. Top the mixture with more barbecue sauce and the rest of the cheese. Fold one side of dough over mixture. Brush egg wash on edge of folded dough; then fold over other side of dough, sealing with egg wash. Seal both ends of loaf well with egg wash and brush it over the top of the bread.
Carefully place the bread on a greased baking sheet. Bake in the preheated oven until golden brown, about 25 to 35 minutes. Cool slightly before slicing.
