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Slice the peppers in half lengthwise and carefully remove the seeds, keeping the stems intact.
Mix the sausage, Parmesan, egg, a pinch of salt and a few grinds of black pepper together in a medium bowl until thoroughly combined. Stuff each pepper with the sausage mixture, lightly packing it in and mounding it if needed. Place the stuffed peppers on the prepared baking sheet and sprinkle each with some mozzarella. Bake until the peppers are soft and the mozzarella is lightly browned, about 30 minutes. Serve on a warmed platter.