Heat oven to 375°F. In 10-inch nonstick skillet, heat oil over medium-high heat until hot. Stir-fry shrimp, parsley, pepper sauce and garlic in oil 1 minute. Remove from heat.
Remove dough from can; do not unroll. Cut into 24 slices; place 1 inch apart, cut side down, on ungreased cookie sheet. Press half of each dough slice to flatten. Place about 1 teaspoon shrimp mixture on flattened half of each slice. Fold remaining half of dough slice over shrimp; do not seal (openings may occur between dough layers). Sprinkle each with Parmesan cheese.
Bake 11 to 13 minutes or until golden brown. Serve warm with cocktail sauce.