Pesto Pizza Pillows

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Vegetable oil, for frying

24 square wonton wrappers 

1 large egg, beaten 

2 cups grated low-moisture mozzarella 

4 ounces sweet Italian sausage, cooked and crumbled (about 1 cup) 

1/4 cup prepared pesto 

1/4 cup grated Parmesan, plus more for sprinkling 

Kosher salt 

Warmed marinara sauce, such as Rao’s, for serving