Spray a baking tray lined with parchment paper with oil and place the frozen dough on the pan, spacing them apart.
Cover with plastic wrap also sprayed with oil and let it thaw and rise in a warm place which can take anywhere from 3 to 5 hours. You can also do this the night before.
In one bowl, combine mozzarella cheese with feta cheese and parmesan. Set aside.
In another small bowl, mix together zaatar with olive oil. Set aside.
Preheat oven to 350°F.
Once the dough is doubled in size, flour your working surface.
Stretch each piece of dough out into a thin long rectangle. Spread the zaatar mixture all across and sprinkle the cheese. Tightly roll it up and place on a baking tray lined with parchment paper, seam side down. Repeat with the rest.
Whish together the egg with milk to make the egg wash.
Brush the tops with egg wash and sprinkle sesame seeds on top.
Bake in the oven for 20 to 24 minutes until golden on top and puffed up.
Allow to cool for 10 minutes before enjoying warm!