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Heat oven to 200C/180C fan/ gas 6. Heat the oil in a saucepan, add the garlic and oregano, and cook for 1 min until fragrant. Stir in the tomatoes and tomato purée, and cook over a high heat for about 5 mins until thickened.
Unroll the pastry, cut each sheet into quarters, and arrange on two baking trays. Spread a little of the tomato sauce over half of each quarter, keeping a border about 0.5cm around the edge. Top with the cheese, followed by the pepperoni and olives (this keeps the cheese from sticking to the top of the pastry as it melts). Brush the edges with egg and fold over the uncovered half of the pastry, pressing down the edges with a fork to seal. If you have time, leave the pockets in the fridge for at least 15 mins to firm up.
Before baking, make a hole in the top of the pockets and brush with a little more egg. Bake for 20 mins or until golden.