In a large bowl, combine the flour, dry yeast, and salt. Add the olive oil and lukewarm water, and knead until a soft, non-sticky dough forms. If it's too dry, add a little more water.
Cover the dough with a clean kitchen towel and let it rise in a warm place for about an hour, or until doubled in size.
Peel the pumpkin, dice it, and bake in a preheated oven at 400°F (200°C) for 20-25 minutes, or until tender.
Place the roasted pumpkin in a bowl and mash it with a fork or an immersion blender. Mix in the ricotta, grated Parmesan, black pepper, nutmeg, and chopped sage.
Divide the risen dough into two equal parts, then roll each part into a circle, about 1/4 inch (5 mm) thick.
Spoon the pumpkin cream filling onto one half of each dough circle, then sprinkle with the grated mozzarella. Fold the other half over the filling and press the edges firmly to seal.
Preheat the oven to 400°F (200°C). Brush the top of each calzone with beaten egg to give it a beautiful golden-brown color.
Place the calzones on a baking sheet lined with parchment paper and bake for 20-25 minutes, or until golden brown.
Let cool for a few minutes before slicing, to prevent the filling from being too hot and runny.
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