Place bread dough on a greased baking sheet and gently press to cover bottom of pan. Let rest.
In large skillet over medium heat, crumble and cook sausage until browned. Add mushrooms and cook about 2 minutes. Remove from heat, drain, and cool 20 minutes.
Spoon pizza sauce down the center of the bread dough. Then spread sausage and mushroom mixture on top. Cover with cheese.
On long side of rectangle, make 10 cuts at an angle and 1 inch apart almost to edge of sausage. For braided appearance, fold strips of dough at an angle across sausage mixture with ends of strips slightly overlapping, alternating from side to side; press ends to seal. Brush top with egg.
Gently pull up both sides of dough to enclose the sausage and pinch to seal edges shut. Brush top with egg.
Bake for 30 to 35 minutes or until bread is browned. Cut into 2 inch slices to serve.