Preheat your oven to 400°F (200°C) and lightly grease a baking sheet or line with parchment paper.
On a lightly floured surface, roll out your pizza dough until it's about ¼ inch thick.
Cut the rolled-out dough into squares, approximately 3 inches in size.
Place a small amount of mozzarella cheese and a few pieces of pepperoni in the center of each dough square. Optionally add Parmesan cheese.
Bring the edges of the dough square together over the filling and pinch to seal. Roll gently to smooth it out.
For frying, heat oil in a frying pan over medium heat and fry the pizza balls until golden brown, about 3-4 minutes. For baking, place on the baking sheet and bake for 15-20 minutes.
Remove from oil or oven, let cool slightly, and serve warm with pizza sauce for dipping.