The story is that pepperoni rolls started in Fairmont, West Virginia. An Italian baker started selling these babies back in the 20's to miners, who loved the portable but filling snack. Of course, the miners just ate them plain. I like to serve them with a little tomato sauce, seasoned with fresh basil and garlic. The rolls sometimes contain pickled peppers and sometimes cheese, largely based on the taste of the baker. The recipe I include omits the peppers but includes mozzarella.
And just be prepared. They are addictive. If you find yourself promising your family that "these would make good occasional lunches/dinners/snacks", they may hold you to that. On that note, make a double batch and freeze the second batch. Homemade hot pockets. If making a double batch, after teh first rise, divide the dough in half. Place one half back in the bowl, cover again, and store in the fridge to delay its rising further until you are ready for it.
Note for the Gluten-Free: the most basic modern homemade pepperoni roll recipes use frozen Italian bread dough. If you have a source for G.F. bread dough or a dough recipe and can find G.F. pepperoni, try it out and let me know the results. I would love to post your findings.
How to make Pepperoni Rolls:

Total Time: 2 1/2 hours
Active Time: 45 minutes
Ingredients;
1 1/2 c. warm water
1 t. dry active yeast
1/2 t. salt
2 T. sugar
1 clove garlic, minced
1 egg
1/3 c. vegetable oil plus 1 T. for bowl
4 c. flour, approx.
1 8 oz. package pepperoni slices
2 c. shredded mozzarella
olive oil for brushing
1. In a large bowl, combine water, yeast, and sugar. Let sit for 5 minutes, until yeast is foamy. Add salt, minced garlic, egg and oil. Stir in the 1 1/2 cups of flour, using a sturdy spoon. Work in as much remaining flour, a little at a time as needed, until dough becomes too stiff to continue stirring with ease. Turn out onto floured surface. Continue adding flour while you knead until dough is smooth and elastic.
2. Add oil to bowl and turn to coat completely. Place dough in bowl and cover with a damp kitchen towel or plastic wrap, loosely covered. Let dough rise until doubled, about 1 hour.
3. Re-flour surface and very lightly flour dough surface to make it easier to work with. Cut in half and roll into two balls.
4. Working with one half at a time, continuously divide in half until you have eight pieces. Repeat with second ball of dough.
5. Divide your pepperoni into 16 sections. This should come to around 6 slices per roll. Stretch a piece of dough by pulling gently in your hands, rotating as you pull, until you have about a 4" circle. Lay down on surface. Layer pepperoni in a circle in the center, leaving space around the edges. Add a good pinch of cheese. Fold the sides up around the pepperonis and pinch all seams shut. Place on greased baking sheet. Repeat with remaining dough. Brush rolls with olive oil.
6. Let rolls rise 30 minutes. During this time, preheat oven to 350 degrees. Bake for 20-30 minutes, or until golden brown.
7. Let cool and enjoy. Or let sit overnight for best results. (It lets the pepperoni grease soak into the dough.)