Skin the sausages. To do this, make a lengthwise incision in the skin and simply pull it off. Now place a skinned sausage on each slice of ham and roll it up in it. Then pin in place with a toothpick each.
Whisk the egg and turn the ham rolls in it, then roll in the breadcrumbs. Heat the vegetable oil in the pan and fry the rolls in it until golden brown. Serve hot.