Preheat the oven to 375°F. Line 1 baking sheet with foil and another with parchment.
Toss the sausages with 1 Tbsp oil on the foil-lined baking sheet. Then, bake, flipping the sausages halfway through, until lightly browned and fully cooked, about 30 minutes. Let cool.
Lower the oven temperature to 350°F. Toss together the provolone and mozzarella in a medium mixing bowl.
Make a slit down the length of each sausage, cutting about halfway through, and fill each with 1 tsp pesto, 2 pepper strips and 1 scant Tbsp cheese mixture; reserve any remaining cheese mixture.
Open the dough tube and carefully unroll on a lightly floured surface. Cut 6 strips 1-1/4" by 12". Wrap 1 strip around a stuffed sausage link, coiling the strip from one end of the link to the other, leaving a 1/4-inch space between dough turns and ends of the sausage slightly exposed. Repeat with the remaining dough strips and sausages, setting the finished rolls at least 1 inch apart on the parchment-lined baking sheet.
Brush the rolls with the remaining Tbsp of oil. Sprinkle the tops with the reserved cheese mixture. Bake until golden brown, 20 to 25 minutes.
Let cool for a few minutes before cutting each roll into 4 pieces with a serrated knife. Serve warm with warm marinara sauce on the side.