In a mixing bowl, combine 2 cups of flour, sugar, yeast, oregano and salt. Heat water and shortening to 120-130*, add to flour mixture along with the egg. Beat on medium speed for 1 minute.
Stir in cheese and pepperoni; mix well.
Add enough remaining flour to form a soft dough.
Turn onto a floured surface, knead until smooth and elastic, about 6 to 8 minutes. Place in a greased bowl, turning once to grease top. Cover and let rise in a warm place until doubled, about 1 hour.
Punch dough down; divide into four portions. Cut each portion into eight pieces; roll each piece into a 12-inch rope. Tie into a loose knot, leaving two long ends. Fold top end under roll; bring bottom end up and press into center of roll.
Place on greased baking sheets. Cover and let rise until doubled, about 30 minutes. Bake at 375* for 10-12 minutes or until golden brown. Serve warm with pizza sauce.