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 (175 degrees C).
Roll out one loaf of bread and place on an ungreased cookie sheet. Layer cooked sausage, green peppers, mushrooms, 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.
