Allow dough to rise until doubled. In skillet, cook and crumble sausage. Add mushrooms and onion. Cook and stir until sausage is browned and veggies are tender. Drain and cool. Beat 1 egg, set aside. Add 2 eggs, cheese, and seasonings to sausage mixture, mix well. Roll each loaf into 16x12-inch square. Spread half of the sausage mixture on each within 1 inch of edge. Roll jelly-roll style, starting at narrow end. Seal edges. Place on greased baking sheet. Cover and refrigerate overnight.
In the morning: Bake at 350 degrees F for 25 minutes. Brush with beaten egg and bake 5 to 10 minutes more. Can be frozen and reheated.