Heat the olive oil in a medium-sized, heavy frying pan over a medium-high heat. Add the sausage and cook until crumbled and golden, about five minutes. Add the rocket and cook until wilted.
Turn off the heat and allow to cool for about 10 mins. Add the cream cheese, 35g of the Parmesan, salt and pepper and stir to combine. Set aside.
Preheat the oven to 200°C/gas mark 6. Roll out the pizza dough on a lightly floured surface to a thin 50cm by 30cm rectangle. Cut the rectangle in half lengthwise. Cut each half into 8 equal rectangles.
Spoon the sausage topping onto half of each of the rectangles. Using a pastry brush, brush the edges of the rectangle with beaten egg. Close the rectangle of pizza dough over the topping. Use a fork to seal and crimp the edges.
Place the pizza pockets onto a greaseproof paper-lined baking sheet. Brush the top of each pizza pocket with beaten egg and sprinkle with the remaining Parmesan. Bake until golden, about 15 to 17 minutes.
Meanwhile, heat the marinara sauce over a low heat in a medium saucepan. Serve the hot pizza pockets with the marinara sauce alongside for dipping.