Knead all the dough ingredients in a stand mixer with a hook attachment, or knead with your hands until it gets smooth dough consistency. Set aside for about half an hour.
Roll out the dough into a 10"/25 cm * 16"/40 cm rectangular shape on a clean surface.
Spread the pizza sauce on the pizza dough. Sprinkle the grated cheese on it.
Scatter the pepper slices and pepperonis on it.
Roll the dough by the longer side. Cut off the hollow parts at about ½"/1 cm on both sides. Slice the log into 10 with a sharp knife.
Place the pizza rolls in an air-fryer basket lined with waxed paper.
Bake for about 25 minutes at 200°C/390°F; turn them over halfway.