Carefully unroll the puff pastry and leave it on the parchment it’s packaged in.
Spread half of the pizza sauce on each puff pastry, covering the entire surface except for a one-inch strip along one long edge.
Sprinkle the cheddar cheese evenly over the pizza sauce. Add the pepperoni slices, diced green peppers, Parmesan cheese, and oregano.
Roll the puff pastry tightly from the long side opposite the empty strip, being careful not to tear the dough. Beat the eggs and brush the egg wash along the empty strip to seal the seam.
Place the rolled pastry seam-side down, wrap it in the parchment, and freeze for 15 minutes to firm up for easier slicing.
Preheat your oven to 350°F. Line with parchment paper and lightly spray two baking sheets.
Using a serrated knife, slice the chilled rolls into ½-inch pieces and arrange them cut-side up on the prepared baking sheets. Brush each pinwheel with egg wash and bake for about 15 minutes, or until golden brown.
Serve warm with extra pizza sauce for dipping.