Spray baking sheet with cooking spray. Unroll pizza dough onto baking sheet into large rectangle (about 10x12-inches). Sprinkle the sausage down center of dough. Sprinkle with olives, mozzarella cheese, tomato and feta cheese.
Use a sharp knife to make 7 diagonal cuts in exposed pastry on each side of filling, stopping ½ inch from filling. Fold strips over filling, alternating sides until filling is enclosed.
Beat egg with 2 teaspoons water. Brush dough with egg.
Bake 20-25 minutes or until braid are is golden brown. Cut into 6 slices to serve.