Brown pork sausage until crumbly and no longer pink. Drain off fat.
Put cooked sausage in mixing bowl. Add cheeses and seasoning to taste (watch the salt as sausage is already seasoned). Add lightly beaten egg.
Grease an 18x12-inch baking pan or cookie sheet with olive oil. Roll or spread each bread dough into 10x14-inch rectangles. Spread sausage mixture evenly over each rectangle. Roll up each rectangle jelly-roll fashion. Place loaves seam-side down on the baking sheet, tucking under the ends.
Brush tops of loaves with egg wash. Sprinkle tops with Parmesan cheese and cover pan lightly with plastic wrap. Allow bread to rise at room temperature, approximately 1 hour.
Remove plastic wrap and bake in 375-degree oven for about 20 mninutes or until golden brown. Slice bread into 1-inch slices and serve warm.