Fork mash eggs in a bowl, add onion, horseradish, Worcestershire sauce, mayonnaise, pepper; mix well.
Open pita bread to make a pocket, spread cream cheese inside on both sides.
Lay lettuce leaves on bottom, over cream cheese, top with tomato, red pepper and cucumber slices. Spread 1/4 of egg salad in each pita half on top of slices. Add more seasoning if you wish and press together to close.