Remove crusts from each slice of bread and flatten each slice with a rolling pin or by pressing with your hands until thin.
Place one flattened bread slice on a work surface, put 2 slices of pepperoni in the center, and top with about 1 tablespoon of mozzarella.
Gather the bread corners toward the center and pinch the edges together to form a sealed ball, then brush or dab the seam with a little beaten egg to seal. Place the sealed pizza bomb seam-side down on a tray and repeat with remaining bread.
Heat the canola oil in a medium heavy-bottomed pot over medium-high heat until a deep-fry thermometer reads 350°F (175°C). Meanwhile set a wire rack on a rimmed baking sheet to drain the fried bombs.
Working in batches so the pot is not crowded, carefully lower the assembled pizza bombs into the hot oil and fry, turning once, until golden brown and puffy, about 3 to 4 minutes per batch.
Use a slotted spoon to transfer the fried pizza bombs to the wire rack to drain and cool slightly, then serve warm with pizza sauce if desired.