Preheat oven to 400°F. Line a baking sheet with parchment or lightly coat with cooking spray.
Cut one pastry sheet into 6 equal rectangles.
Place a spoonful of sauce in the center of each rectangle, keeping edges clean.
Layer 3 slices of pepperoni over the sauce, then sprinkle with cheese.
Brush pastry edges with water to help seal.
Cut the second pastry sheet into 6 rectangles. Place one over each filled rectangle. Press edges to seal, then crimp with a fork.
Whisk egg and 1 T water. Brush over tops. Sprinkle with Italian seasoning.
Arrange pockets on the baking sheet. Bake 18–20 minutes, until puffed and golden.
Cool briefly before serving.