Combine yeast and water in a large mixer bowl, let stand for 5 minutes. Heat milk, shortening and molasses until warm (100° to 110°F). Add to yeast mixture with salt, egg and whole wheat flour. Beat on medium speed for 3 minutes or until smooth. Stir in enough all-purpose flour to form soft dough. Knead on a lightly floured surface for 8 to 10 minutes. Place in a greased bowl, turning once to coat top. Cover dough and let rise for 1 hour, or until doubled.
Heat oil in a large skillet over medium-high heat. Add onions, zucchini, mushrooms, red bell pepper, Italian seasoning, garlic salt and Worcestershire sauce, and cook for 5 minutes until vegetables are softened. Remove from heat and spread on a baking sheet to cool. Stir in cheese and pepperoni.
Punch dough down. Divide into 6 equal pieces. Roll each piece into a 8 x 6-inch rectangle on a lightly floured surface, top with about 1/2 cup filling and fold in half. Seal all edges. Place on a greased baking sheet.
Bake in preheated 400°F oven for 15 to 20 minutes. Let cool for 5 minutes before serving.
Make ahead tip (cook once and eat twice!): Double recipe to make 12 pocket sandwiches. Let half the sandwiches rise and bake as above. (These are the ones to serve now). Place remaining half of sandwiches on a greased baking sheet and freeze. When sandwiches are frozen, wrap entire pan in plastic wrap or foil, and return to freezer. Freeze up to 1 month. When ready to serve, remove pan from freezer and let thaw at room temperature for 2 to 3 hours, or overnight in the refrigerator. Bake as above.