Remove the dough ball from fridge 2 hours prior to using.
Preheat oven to 425°F and set the rack to the middle level.
Heat the olive oil in a large pan to medium-high heat. Add the sausage and brown while breaking it up with a wooden spoon or meat masher. Remove the browned sausage with a slotted spoon to a plate and set aside to cool.
Add the butter and onions to the pan along with a pinch of salt. Cook the onions until slightly browned and soft (about 10-15 minutes) then turn off the heat.
Place the dough onto a floured surface and press with your hands to open it, then transfer to parchment paper and roll into a rectangle shape approximately 12x16" in size.
Distribute the sausage and onions onto the dough, leaving about 1 inch around the sides. Sprinkle the shredded mozzarella, oregano, black pepper, and 2 tablespoons of grated Pecorino cheese all over the sausage and onions.
Fold the roll over one time then tuck in the sides. With a wet pastry brush, brush the seam and roll with the parchment paper to form a log shape. Place the seam side down and center the roll on an oiled baking pan or on top of a parchment paper-lined pan. Cover with plastic and let the roll rise for 30-60 minutes before baking.
Before baking, beat the egg and add a tablespoon of water to thin. Brush the eggwash onto the top of the roll. Cut a few slits into the top of the roll to allow air to escape.
Sprinkle the sesame seeds and the remaining grated Pecorino on top. Bake the sausage bread for 10 minutes then turn the heat down to 375°F and continue to bake for 20-30 more minutes or until the interior is fully cooked through.
Let the sausage bread sit for at least 10 minutes to solidify and make cutting easier. Enjoy!