Preheat your oven to 400 degrees F and line a large baking sheet with parchment paper.
In a large bowl, whisk together the gluten free flour, xanthan gum, baking powder, and salt. Add the greek yogurt, egg, and olive oil. Stir until a soft dough forms, then turn it out onto a surface dusted with gluten free flour and knead gently for about 1 minute until smooth.
Roll the dough out into a large rectangle, roughly 12 by 16 inches and about 1/4-inch thick. Spread the pizza sauce evenly over the entire surface, leaving a thin border along one long edge.
Scatter the mozzarella, chopped pepperoni, and italian seasoning evenly over the sauce. Starting from the long edge opposite the bare border, roll the dough up tightly into a log. Pinch the seam to seal.
Using a piece of dental floss or a bench scraper, cut the log into 12 to 14 equal rounds, each about 1 to 1.5 inches thick. Place them cut-side up on the prepared baking sheet, spacing them about 2 inches apart.
Brush the tops and sides of each roll with beaten egg and sprinkle with grated parmesan.
Bake for 20 to 24 minutes, until the rolls are golden brown and the cheese is bubbly. Let them cool on the pan for 5 minutes, then serve warm with marinara sauce for dipping.