Heat oil in a large skillet over high. Add sausage; cook 3-4 minutes, stirring occasionally until lightly browned. Add peppers and onion; cook 3-4 minutes, stirring frequently, until softened. Stir in Worcestershire, tomato paste, Italian seasoning, garlic powder, and pepper. Remove from heat. Cool completely, about 15 minutes.
Preheat oven to 450 degrees F. Unroll pie crusts on work surface. Cut out twelve 5-inch circles, re-rolling dough scraps as needed.
Spoon 2 tablespoons sausage mixture into center of each circle; top with 1/2 a cheese slice. Fold each circle over into a semicircle and crimp edges with a fork to seal. Place pies on large baking sheet lined with parchment paper.
Whisk together egg and water; brush over tops of pies. Bake in preheated oven until golden brown, 10 to 12 minutes. Cool 5 minutes before serving.
