Preheat oven to 450°F. Line a large baking sheet with parchment paper.
On a baking surface or wooden board, dust generously with flour and cut pizza dough into four equal pieces. Using both hands, roll each piece of dough into a long rope, then cut dough into 2” pieces (you’ll need 36 total).
Stack the slices of peperoni and cut into 4 then stack each piece of mozzarella with a piece of pepperoni and then wrap each piece of dough around the mozzarella/pepperoni and form into a tightly sealed ball. Place balls seam-side down on the baking sheet in the shape of a Christmas tree (they should be touching...and if you're making a dreidel, it's important to make the last row of balls before the tip of the tree a bit wider - see photo). Brush beaten egg on dough balls with a pastry brush and bake until golden about 20 minutes.
While pizza "tree" is baking, make pizza sauce by placing the tomatoes in a large bowl and "crushing" them with your clean hands, breaking up the tomatoes into very small pieces. Add remaining ingredients, mixing together well until fully combined. Use the sauce with the baked bread and store the remaining in the refrigerator or freeze for future use.
Meanwhile, whisk together melted butter, oregano and garlic. When bread is finished, remove from oven and brush on baked pizza balls. Sprinkle with parsley and cheese. Serve warm with the pizza sauce for dipping.