Combine flour and oregano in a large bowl. Combine sour cream and milk and stir in to dry ingredients. Mix quickly to form a soft dough.
Turn onto a lightly-floured surface. Knead gently, then press or roll dough into a rectangle shape, about 5mm (1/4 inch) thick.
Beat cream cheese with milk until smooth. Spread evenly over dough, leaving a 1cm (1/2 inch) border. Top the cream cheese with pepperoni slices, mushrooms and cheddar cheese. Brush the beaten egg around the border, then fold the dough over and crimp the edges with a fork.
Place the bread on a lightly-greased (or lined) baking tray. Cut a few slits across the top of the dough and brush with extra beaten egg. Sprinkle with parmesan cheese.
Bake in a hot oven (200C/400F) for 20 to 25 minutes or until golden. Serve warm with a green salad or slice into finger food size snacks.