Preheat the oven to 400 degrees . Line a rimmed baking sheet with parchment. Crumble the sausage into a bowl. Stir in the breadcrumbs and chopped bell pepper. Divide the mixture in half and form each into an 11-inch long log; refrigerate.
Line a work surface with a 16-inch length of parchment. Set the sheet of cold puff pastry on top and roll out into an 11-inch square. Cut the pastry in half. Lay a sausage log down the center of each strip. Brush the long sides with some of the egg. Wrap the sausage in the pastry; press the seam to seal, but do not seal the short ends. Transfer to the baking sheet seam side down.
Brush the tops with the remaining egg and refrigerate for 15 minutes. Bake until puffed and golden, 25 to 30 minutes. Let rest for 10 minutes; quarter each roll crosswise for a total of 8 pieces.
Meanwhile, in a bowl, whisk together the EVOO, mustard and lemon juice; season with salt and pepper. Stir in the bell pepper strips and spinach; toss well.