In a large bowl, whisk the warm whole milk with the instant yeast and granulated sugar; let stand until foamy, 5–10 minutes.
Add the all-purpose flour, fine sea salt, and melted unsalted butter to the bowl and mix until a shaggy dough forms, then knead until smooth and elastic, 8–10 minutes.
Cover the bowl and let the dough rise in a warm spot until doubled in size, 60–75 minutes.
Meanwhile, make the sauce: Warm the olive oil in a small saucepan over medium-low heat until shimmering, about 1 minute. Stir in the garlic powder and dried oregano for 30 seconds, then add the tomato sauce (canned) and kosher salt. Simmer, stirring occasionally, until thick enough to mound on a spoon, 10–12 minutes; cool to room temperature.
Line a sheet pan with parchment. In a small bowl, beat the large egg with the water to make an egg wash.
Punch down the risen dough, turn it out, and divide into 4 equal pieces; rest 5 minutes.
Working one piece at a time, roll into a 7×6-inch rectangle about 1/8 inch thick (roll between sheets of parchment to prevent sticking).
Spread 2 tablespoons of cooled sauce over the lower half of the rectangle, leaving a 1/2-inch border.
Top with 2 ounces of shredded low-moisture mozzarella cheese and about 1.5 ounces of pepperoni slices.
Fold the dough over the filling to form a pocket, press edges to seal, then fold the edge over and crimp with a fork for a tight double seal. Cut 2 small vents in the top.
Transfer to the prepared pan and repeat with remaining dough and filling.
Brush the tops evenly with the egg wash.
Bake at 425°F (220°C) until deep golden and the cheese bubbles through the vents, 18–22 minutes, rotating the pan once halfway.
Cool on the pan for 10 minutes before serving.
For freezing and reheating: Cool completely, wrap each pocket tightly, and freeze up to 2 months. Reheat from frozen at 375°F (190°C) until hot and crisp, 20–25 minutes, or microwave 2–3 minutes then crisp in a 400°F (205°C) oven for 5 minutes.