Preheat oven to 375°F (190°C). Line a baking sheet with parchment paper.
Cook the filling: In a skillet over medium heat, sauté onion, bell pepper, and garlic until soft. Add ground meat and cook until browned. Season with paprika, cayenne (if using), salt, and pepper. Remove from heat and let cool slightly.
Assemble pockets: Unroll dough and separate into triangles or squares. Place a spoonful of the meat mixture and some shredded cheese on each piece. Fold dough over and seal edges by pressing firmly or crimping with a fork.
Egg wash: Beat the egg and brush over the pockets for a golden finish.
Bake: Place pockets on the baking sheet and bake for 20-25 minutes or until golden brown.
Cool slightly before serving. Enjoy with your favorite dipping sauce.