Preheat the oven to 400 degrees F. Line a baking sheet with parchment.
Roll the dough into a 20-by-14-inch rectangle on a lightly floured work surface. Working from the shorter end of the dough, scatter the Cheddar evenly over half of the dough, leaving a 1-inch border on the sides. Arrange the pulled pork evenly over the Cheddar, then spoon 1 cup barbecue sauce over the pork. Working from the short side with the filling, tightly roll the dough up, jelly roll-style into a log. Pinch the open seams together to seal shut, then tuck them underneath the log.
Transfer the log to the prepared baking sheet and brush with the egg wash. Bake until the bread is golden brown, 35 to 40 minutes.
Let the bread cool for 10 minutes. Halve the bread lengthwise, then cut each half crosswise into 4 equal pieces and serve warm with the remaining cup barbecue sauce on the side, along with pickles and coleslaw.
Combine the ketchup, sugar, whiskey, chili powder, mustard powder, onion powder, vinegar, Worcestershire, garlic powder, coriander, cayenne, 1 teaspoon salt, 1 teaspoon pepper and 1 cup water in a small saucepan over medium heat and bring to a simmer. Cook the barbecue sauce, stirring, until the sugar dissolves and the sauce thickens, 3 to 4 minutes. Remove the pan from the heat and let the sauce cool completely.
To make rolling and shaping the dough easy, keep the dough refrigerated until 10 to 15 minutes before you are ready to use it.
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