Place 2 large rimmed baking sheets (at least 17 x 11 inches) in oven. Preheat oven to 450°F, leaving pans in oven as it preheats. Place pizza dough pieces on a lightly floured surface, and cover each with plastic wrap. Let stand 20 minutes.
Meanwhile, heat 1 tablespoon of the oil in a large skillet over medium-high. Add sausage, and cook, stirring often, until browned and crumbled, about 10 minutes.
Stir in tomatoes, crushing with a wooden spoon. Add garlic, basil, parsley, oregano, salt, and pepper, and bring to boil over medium-high. Reduce heat to medium, and simmer 10 minutes. Remove from heat.
Cut each pizza dough piece into 4 equal portions. Roll each portion to a 8-inch circle on a lightly floured surface. Transfer 4 of the dough circles to a large piece of parchment paper. Transfer remaining 4 dough circles to another large piece of parchment paper.
Spread 3/4 cup of sausage mixture over half of each dough circle. Top each with 1/2 cup shredded mozzarella. Whisk together egg and water; brush a small amount of egg mixture around edges of each dough circle. Fold dough over filling, pressing and crimping edges to seal.
Carefully slide 1 parchment paper piece with unbaked calzones onto a hot baking sheet; repeat with remaining unbaked calzones and hot baking sheet. Brush tops of calzones with remaining 2 tablespoons oil. Bake in preheated oven until dough is golden brown and crisp, 18 to 20 minutes, switching pans top rack to bottom rack halfway through baking. Let stand 5 minutes before serving. Serve with marinara sauce on the side.