Preheat oven to 375°F (190°C) and line a baking sheet with parchment paper.
Crush Doritos into fine crumbs using a food processor or rolling pin and place in a shallow bowl.
Roll out pizza dough on a lightly floured surface and cut into 3×3 inch squares.
Spoon a small amount of pizza sauce into the center of each dough square.
Add shredded mozzarella and mini pepperoni to each square.
Fold dough around the filling, pinch to seal, and form into a ball.
Beat egg in a bowl and dip each dough ball into the egg wash.
Roll dough balls in crushed Doritos until fully coated.
Place coated pizza rolls on the prepared baking sheet and lightly spray with olive oil.
Bake for 15-18 minutes until golden brown and crispy.
Serve hot with extra pizza sauce for dipping.