Heat oven to 400°F. Spray large cookie sheet with cooking spray, or line with cooking parchment paper. Unroll dough. Starting at center, press dough to 14x10-inch rectangle.
In small bowl, mix shredded cheese and pepper. Sprinkle cheese mixture over dough; press cheese lightly onto dough using waxed paper. Cut lengthwise in half. Cut into 1-inch strips, making 28 strips. Gently twist each strip 3 to 4 times; place twists on waxed paper.
In microwavable bowl, stir baking soda and water. Microwave uncovered on High 1 to 2 minutes or until hot. Brush twists with baking soda mixture. Let stand 5 minutes.
Brush twists with beaten egg. Place twists 1/2 inch apart on cookie sheet.
Bake 7 to 10 minutes or until deep golden brown.