Separate or cut dough into 4 long rectangles (if using crescent rolls, press perforations to seal).
Place 4 bologna pieces on one side of each rectangle. Spoon chili over bologna; sprinkle with cheese. Fold dough over filling; press edges with fork to seal. Place on ungreased cookie sheet. Brush with egg.
Bake at 375°F 12 to 16 minutes.