Preheat your oven to 400°F (200°C). If using store-bought pizza dough, let it rest at room temperature for 10 minutes to make it easier to roll out.
On a lightly floured surface, roll out the pizza dough to about 1/8 inch (3-4 mm) thickness. Cut out a large circle, then divide it into two equal halves.
Spread the Nutella evenly on one side of each dough half, leaving a 1/2 - 1 inch (1-2 cm) border around the edges for sealing.
Slice the bananas thinly and spread them evenly over the Nutella.
Fold the other half of the dough over the filling. Use a fork to press the edges together firmly, sealing the calzone to prevent the filling from leaking out during baking.
In a small bowl, whisk the egg, then brush it over the top of the calzone to help it turn golden brown.
Place the calzone on a baking sheet lined with parchment paper and bake for 15-18 minutes, or until golden brown.
After baking, let it cool slightly, then sprinkle with powdered sugar and serve warm.
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