To make the dough, put the flour in a large mixing bowl. Make a well in the center and add the oil and salt. Stir together with a wooden spoon and slowly add the water until a dough begins to form. Turn out onto a well floured surface and knead until smooth. Divide the dough into 2 balls, flatten into disks, wrap and refrigerate for 30 minutes or until ready to use.
To make the filling, pour the olive oil into a large pot and place it over medium heat for 1 minute. Add the anchovies and cook, stirring until they dissolve. Add the onions, salt and pepper, stir and cover. Cook, stirring occasionally, until the onions are translucent, about 20 to 30 minutes. Set aside to cool.
Preheat the oven to 325 degrees F. Remove the dough from the refrigerator and let it come to room temperature. Grease the baking sheet with olive oil and set aside.
On a well floured work surface, roll out 1 of the disks to about 1/8-inch thick rectangle to fit the size of the sheet pan and line the pan with the dough. Spread the filling out over the dough, roll out the second disk a little larger than the sheet pan and place it over the onions. Crimp the edges, brush with olive oil and cut vent slits into the top. Transfer the pan into the top half of the oven and bake until the dough is golden brown, about 1 hour. Let cool, slice and serve at room temperature.