Allow dough to rise until nearly double. Meanwhile, in a skillet over medium heat, cook and crumble sausage. Add mushrooms and onion. Cook and stir until the sausage is browned and vegetables are tender; drain. Cool. Beat 1 egg: set aside. To sausage mixture, add 2 eggs, cheese and seasonings; mix well.
Roll each loaf of dough into a 16x12 inch rectangle. Spread half the sausage mixture on each loaf to within 1 inch of edges. roll up jelly roll style, starting at a narrow end. Seal edges. Place on a greased baking sheet.
Bake at 350°F for 25 minutes: brush with beaten egg. Bake 5 to 10 minutes more or until golden brown. Serve warm.