In a large bowl, combine flour, sugar, and salt. In a separate bowl, dissolve yeast in warm water and let it sit for 5 minutes until foamy.

Pour the yeast mixture and olive oil into the dry ingredients. Mix until a shaggy dough forms. Knead on a floured surface for 5-7 minutes until smooth and elastic.

Place the dough in a lightly oiled bowl, cover with plastic wrap, and let it rise in a warm place for about 1 hour, or until doubled in size.

Preheat oven to 400°F (200°C). Line a baking sheet with parchment paper.

Punch down the dough and divide it into 4 equal portions. On a floured surface, roll out each portion into a 6-inch circle.

Spread pizza sauce over one half of each dough circle, leaving a 1-inch border. Top with mozzarella cheese, pepperoni, bell pepper, and onion.

Fold the other half of the dough over the filling to create a half-moon shape. Crimp the edges to seal.

Place the calzones on the prepared baking sheet. Whisk together the egg and water for the egg wash and brush over the top of each calzone.

Bake for 20-25 minutes, or until golden brown and puffed.

Let cool slightly before serving.