Cyndi and I just returned from a trip to West Virginia where I had a Pepperoni Roll. These things are AWESOME! When I got back, I decided to look it up on Wikipedia to see if there was an article on it. If you have never heard of one, it looks like you are out of luck.
Wikipedia Article on Pepperoni Rolls: http://en.wikipedia.org/wiki/Pepperoni_Roll
The pepperoni roll is a snack popular in West Virginia and some nearby regions of the Appalachian Mountains. Ubiquitous in West Virginia (particularly in convenience stores) but little known elsewhere, it is arguably the food most closely associated with the state (a competitor for this distinction is the ramp). Fairmont, West Virginia, claims the title of 'Pepperoni Roll Capital of the World.'
The classic pepperoni roll consists of a fairly soft white yeast bread roll with pepperoni baked in the middle. The pepperoni can be either in the form of a stick or of several slices folded together. During baking, spicy oil from the pepperoni suffuses the bread. Most people prefer the rolls to be moist but not soggy; thus, the texture of the bread is an important factor in the rolls' quality. A typical pepperoni roll weighs about three ounces, and can be eaten as a snack or as the main dish of a lunch. Pepperoni rolls can be eaten cold, or can be warmed slightly in an oven or microwave.
Some variations on the original pepperoni roll contain cheese and/or chile peppers. In 2005, a pizzeria in Chesapeake, Ohio (directly across the Ohio River from Huntington, West Virginia) introduced a deep-fried pepperoni roll, dubbed the 'pepperoni zinger.' 
A popular legend holds that the pepperoni roll was invented in the 1920s by Giuseppe Argiro, owner of the Country Club Bakery in Fairmont. Some historians have disputed this claim. However, it seems highly likely that the dish originated among the coal miners of north-central West Virginia in the first half of the twentieth century. The pepperoni roll bears a resemblance to the pasty and sausage roll, which originated in the mining communities of Great Britain, as well as to the Italian calzone. All these foods allow a miner on a break from a tiring and dirty job to eat a full meal with a minimum of fuss. Pepperoni and other Italian foods became popular in north-central West Virginia in the early 20th century, when the booming mines and railroadsimmigrants from Italy. attracted many
Although recipes for homemade pepperoni rolls are available, most West Virginians buy the rolls in shops. Most commercially available pepperoni rolls are made within the state by small, family-owned Italian-American bakeries. The rolls can be found in virtually every grocery and convenience store in West Virginia. Churches and schools in the state sometimes have pepperoni roll sales to raise funds.
Outside West Virginia and its surrounding regions, pepperoni rolls are seldom, if ever, seen for sale. Some West Virginians believe they cannot be sold elsewhere in the United States because other states have regulations banning the sale of meat baked into bread. However, this appears to be an urban legend; many products matching this description, such as calzones, pasties, pot pies and samosas, are sold throughout the U.S. with no problems. It seems likely that the pepperoni roll is simply a regional speciality that has not been discovered by the outside world.
Pepperoni rolls did face a legal challenge in 1987 when the United States Department of Agriculture proposed re-classifying bakeries that made the rolls as meat-packing plants, thus making them subject to stricter regulations. The bakery owners claimed that the costs of meeting the new regulations would put them out of business. The USDA's proposal was quashed after Jay Rockefeller, U.S. Senator for West Virginia, intervened.
Pepperoni rolls caused a goof in the 1998 movie 'Whatever,'  which was set in New Jersey but filmed in West Virginia. In one scene set in a convenience store, a pile of pepperoni rolls on the counter gave away the store's true location.
[Update 19 Dec 2006] Updated for style