Preheat oven to 375°. In a small bowl, combine the pepperoni, cheese, oregano and egg yolk. In another small bowl, whisk egg white until foamy; set aside. Separate crescent dough into 4 rectangles; seal perforations.
Spread pepperoni mixture over each rectangle to within 1/4 in. of edges. Roll up jelly-roll style, starting with a short side; pinch seams to seal. Cut each into 6 slices.
Place cut side down on greased baking sheets; brush tops with egg white. Bake until golden brown, 12-15 minutes. Serve warm. Refrigerate leftovers.
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