Lightly grease large baking sheet. Combine breadcrumbs and milk in small bowl. Let stand until milk is absorbed, about 5 minutes. Transfer to processor. Add sausages, onion, 1 egg, garlic and oregano. Using on/off turns, process until blended. Season with salt and pepper.
Unfold pastry sheet on floured work surface. Roll out to 12x10-inch rectangle. Cut pastry crosswise into three 10x4-inch strips. Brush each strip with beaten egg. Spoon 1/3 of sausage mixture in narrow strip lengthwise down center of each pastry strip. Fold long sides in, covering filling and overlapping slightly in center; press seam to seal. Arrange rolls seam side down on prepared sheet. Cover and chill until rolls are firm, at least 10 minutes and up to 1 hour.
Preheat oven to 425. Cut each roll crosswise into 8 pieces. Separate pieces on baking sheet. Brush with some of remaining beaten egg. Bake until rolls are puffed and golden, about 20 minutes. Serve warm with marinara sauce.