Sauté sausage, then drain on paper towels. Place in bowl, add cheese and mix. In separate skillet cook peppers and onions in small amount of oil, covered, for about 10 minutes. Add to sausage.
In mixing bowl, combine sugar, salt, yeast and 2 cups of flour. Heat butter and 1 3/4 cups water until very warm. Add liquid to flour mixture and mix for 2 minutes; add 1/2 cup flour and beat another 2 minutes; add 1 3/4 cups of flour and beat for 2 minutes. Knead dough in mixer or on board for 10 minutes adding flour as needed. Let rise until doubles in bulk. Punch down and knead a few minutes.
Divide dough into 2 sections. Roll a section into a 9 X 12 inch rectangle, 1/2 inch thick. Spread with 1/2 of sausage mixture; roll up from wide side making a long roll. Pinch to seal seam and ends. Do the same with the other section. Place dough seam side down onto cookie sheet dusted with cornmeal. Make slits in top of dough. Brush loaves with 1 beaten egg. Bake at 400° for 25 minutes or until golden brown.