Preheat oven to 400 F degrees. Add parchment paper to a cookie sheet.
In a large skillet, melt the butter over medium heat. Add onions and green peppers and cook for 3 minutes. Add chicken and season with fajita seasoning or tex mex and cook until the onions are caramelized and the chicken is cooked, about another 5 to 7 minutes.
Add salsa to the skillet, toss and set aside.
Carefully remove the dough from the packages, and roll it out without separating the rolls. Place the dough from the 2nd package onto the first dough, so that now you have a rectangle. Gently roll it out a bit, so that it's about 18 inches long and 15 inches wide. Visually divide the length of the dough into 3 equal parts. The middle part is where our filling will go. So using a pizza cutter or knife, cut the dough into slices on each outside tab, making equal slits on each side.
Fill the middle tab with the chicken fajita mixture, aligning it down the center tab.
Alternating from side to side, fold the cut pieces over the middle part. You might have to stretch them a bit so you can pinch them over to the other side.
Brush with the egg wash and bake for about 15 to 20 minutes or until golden brown.