Preheat oven to 350°F. Beat egg with a fork and set aside.
Lightly flour a pastry board and rolling pin. Remove dough from package and divide into 3 rectangles. Seal perforated triangles together, pinching them as necessary. Then roll each rectangle until it is 9 by 7 inches. Cut each rectangle in half crosswise to make 6 smaller rectangles.
Spread 1 heaping Tbsp. Nutella, leaving at least a 1/2-inch border, on one half of each rectangle. Place banana slices on top of Nutella, overlapping them slightly, about 10 slices per pocket. Fold dough over bananas and press down on edges of dough to seal. Brush reserved egg wash around edges with a pastry brush and gently fold rim of each pocket into itself to give it a good seal (forming a shape like a calzone or empanada).
Place pockets onto an ungreased baking sheet and sprinkle with sugar. Bake at 350°F until golden brown, about 20 minutes.
Beat cream with an electric mixer for about 3 minutes or until soft peaks form. Add remaining 2 Tbsp. Nutella and beat for a minute until stiff. Serve pockets with Nutella cream.