Preheat the oven to 400°F (200°C).
Heat olive oil in a skillet over medium heat and sauté the mixed vegetables until tender, about 5-7 minutes.
In a bowl, combine sautéed vegetables, mozzarella cheese, ricotta cheese, salt, and pepper; mix well.
Roll out one sheet of puff pastry on a floured surface and cut it into rectangles (about 6x4 inches).
Place a generous spoonful of the vegetable-cheese mixture onto one side of each rectangle, then fold over to seal.
Place the rolls on a baking sheet lined with parchment paper and brush the tops with the beaten egg.
Bake in the preheated oven for 20-25 minutes or until golden brown and puffed up.
Remove from the oven and let them cool slightly before serving.