Make the ricotta filling: In a large bowl, combine all ingredients and stir well. Cover and store refrigerated for up to 5 days until ready to use.
Make the tomato sauce: In a heavy saucepan, heat olive oil on medium heat and add onion and salt. Sauté onion until translucent, about 5 minutes. Add anchovy and continue to sauté for 3 minutes, stirring frequently. Add tomatoes and continue to cook on medium heat for 30 minutes, stirring occasionally. Stir in oregano and remove from heat and allow to cool. Cover and store for up to 5 days until ready to use.
Assemble the calzones: Arrange oven racks in the center of the oven set 6 inches apart. Place a pizza stone on each oven rack and preheat oven to 500˚F.
Hand stretch 1 dough ball into a 12-inch round. Spread Ricotta on half of the dough closest to you.
Place tomato sauce on top of ricotta. Distribute crumbled sausage on top of sauce. Sprinkle Romano cheese on top of sausage.
Pull the dough from the edge farthest from you over the fillings and place onto the edge closest to you so that the seams are even, creating a half moon shape. Gently press the center of the dough to allow any air to escape from the inside of the calzone. Starting from on one side of the calzone, press down firmly on the seem and continue to work your way around the dough until you reach the opposite side and calzone is fully sealed.
Using a pizza cutter, trim the dough 1/4-inch from the edge all the way around and discard the scrap.
Gently lift the calzone and place on a half sheet pan lined with parchment paper. Cover with plastic wrap.
Repeat this process with remaining 2 dough balls (if making all 3).
Once calzones are on the sheet pan, use a pastry brush to egg wash over each calzone.
Bake for 25-30 minutes or until calzone are golden brown. Allow to cool for 5 minutes before serving.