In a large bowl, combine the flour, dry yeast, and salt. Add the olive oil and lukewarm water, then knead until you have a soft, non-sticky dough. 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.
While the dough is rising, finely chop the onion and garlic. Sauté them in a pan with a little olive oil until translucent.
In a bowl, mix together the sheep cheese, grated mozzarella, and Parmesan. Add the chopped parsley, sautéed onion and garlic, black pepper, and oregano.
Divide the risen dough into two equal portions. Roll each portion into a circle, about 5 mm thick.
Spoon the sheep cheese and cheese mixture onto one half of each dough circle. 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 nice golden-brown color.
Place the calzones on a baking sheet lined with parchment paper and bake for 20-25 minutes, or until golden brown.
Wait a few minutes before slicing to prevent the filling from running out too hot.
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