Remove casing from sausage. Cook sausage in a large nonstick skillet over medium-high heat until browned, stirring to crumble. Add fennel, bell pepper, and onion. Cover, reduce heat, and cook for 9 minutes, stirring frequently. Cool slightly.
Preheat oven to 450°.
Divide the prepared dough evenly into 6 equal portions on a lightly floured surface; shape each piece into a ball. Roll each ball into a 6-inch circle. Combine egg and water with a whisk in a small bowl. Brush edge of each circle with egg mixture; reserve remaining egg mixture.
Place 2/3 cup sausage mixture on half of each circle, leaving a 1-inch border, and sprinkle each with 2 tablespoons cheese. Fold dough over sausage mixture until edges almost meet. Bring bottom edge over top edge; crimp edges of dough with fingers to form a rim. Place the calzones on a baking sheet sprinkled with cornmeal. Brush tops with reserved egg mixture. Bake at 450° for 12 minutes or until golden brown.