On cookie sheet, unroll dough and separate into 4 rectangles; press each into 7x4-inch rectangle, firmly pressing perforations to seal. Spread 1 tablespoon sauce on half of each rectangle to within 1 inch of edge. Sprinkle 2 tablespoons cheese over sauce; top with one-fourth of sausage mixture. Fold dough over filling; firmly press edges with fork to seal. Brush top of each with egg. With fork, prick top of each to allow steam to escape.