Add grated caciocavallo, ricotta, whisked egg, salt and pepper to a bowl and mix to combine thoroughly.
Cut pizza dough into eight pieces and roll each piece into a six millimeter thick circle. Add 1/4 to 1/3 cup (60-80 milliliters) of filling to centre of circle, then fold dough over to create a crescent shape. Seal edges together firmly by rolling and pressing with your fingers or crimping with a fork.
Heat vegetable oil in a large saucepan to 375 F (190 C). Fry panzerotti in batches, turning periodically, until golden brown. Transfer to paper-towel lined platter. Allow to cool for a few minutes before serving.