Preheat the oven to 375 degrees F and line a rimmed baking sheet with parchment.
Mix together the mozzarella, ricotta, Parmesan, pepperoni, egg yolk and 1/4 teaspoon salt in a small bowl.
Divide the dough into eight even pieces. Lightly dust a clean work surface with flour and roll a piece of dough out into a 5-inch round. Put 2 heaping tablespoonfuls of the cheese filling in the center and top with about 2 teaspoonfuls of sauce. Brush the edges of the dough with beaten egg and fold one side over the filling to make a half moon. Press and crimp the edges. Put the pocket on the prepared baking sheet. Repeat with the remaining dough, filling and sauce. Brush the tops of the hand pockets with egg and cut a 1-inch vent in the center of each.
Bake until golden brown and the filling begins to bubble, 24 to 28 minutes. Let rest for a few minutes before serving.
Alternatively, freeze the unbaked hand pockets for up to 1 month; bake as above, from frozen, 25 to 29 minutes.
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