Preheat the oven to 400°F. Line a baking sheet with parchment paper.
Heat olive oil in a skillet over medium heat. Add onion, bell pepper, and mushrooms. Cook 4 to 5 minutes, stirring often.
Add garlic and cook 30 seconds.
Stir in cooked sausage, Italian seasoning, garlic powder, black pepper, and red pepper flakes (if using). Remove from heat and cool 10 minutes.
Lightly flour a work surface. Roll dough into a 12×16-inch rectangle.
Spread filling over dough, leaving a 1-inch border. Add pepperoni, then sprinkle mozzarella and cheddar.
Roll tightly from the long side into a log. Pinch seam closed and tuck ends under.
Place seam-side down on baking sheet.
Whisk egg and water. Brush over loaf. Sprinkle Parmesan and oregano. Cut 4 to 5 small slits on top.
Bake 22 to 28 minutes, until deep golden brown. If needed, tent with foil for the last 8 to 10 minutes.
Rest 10 minutes before slicing. Serve warm with marinara.