In medium skillet, heat oil over medium heat. Add mushrooms, onions and Italian seasoning. Sauté until mushrooms are softened. Stir in gravy; set aside.
Remove dough from package. Unroll and press into a 15x12-inch rectangle. Arrange roast beef over dough. Sprinkle with cheese and mushroom mixture.
Roll-up jelly-roll style, starting with long edge. Seal seams and ends. Place, seam-side-down, on a greased large baking sheet; brush with egg.
Bake in a preheated 350°F oven 25-28 minutes or until golden brown. Let stand 5 minutes before slicing. Serve with additional warmed gravy, if desired.