Preheat oven to 375°. Cut each slice of prosciutto into 4 thin strips. Unroll dough; separate into breadsticks. Top each with 2 strips prosciutto, pressing gently to adhere. Twist each breadstick; place on ungreased baking sheet, pressing ends down firmly. Brush with beaten egg.
Combine fennel and pepper; sprinkle over breadsticks. Bake 10-13 minutes or until golden brown.