Position an oven rack in the center of the oven, and preheat to 400 degrees F. Brush the bottom and sides of a 9-by-5-inch loaf pan with oil.
Pour the 3 tablespoons oil onto a large dinner plate, and sprinkle with 1/2 teaspoon salt. Pinch off pieces of dough the size of Ping-Pong balls, and roll them into rough balls. Roll each dough ball around in the salted oil until all sides are coated.
Put half the balls in the prepared pan, squishing them together. Spread half the sauce over the balls, then sprinkle with half the pepperoni, mozzarella and Parmesan. Repeat with the remaining dough balls, sauce, pepperoni and cheeses.
Put the loaf pan on a rimmed baking sheet (to catch any drips), and bake until the bread is puffed up and golden brown, about 25 minutes. Cover loosely with foil, and continue to bake until the bread is cooked through in the middle, about 25 minutes. Let it rest in the pan for 10 minutes, then use dry oven mitts or kitchen towels to carefully unmold. Sprinkle generously with Parmesan, and serve hot. (Let your guests pull the bread apart!)
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