Preparation:
Whisk egg in medium bowl until frothy. Mix in all cheeses, tomatoes, thyme, marjoram, and pepper. Cover and chill until ready to use, up to 1 day.

Stack phyllo sheets. Using sharp knife or shears, cut sheets in half lengthwise, making sixteen 5- to 6-inch-wide pastry strips. Place 1 strip on work surface (keep remaining strips covered with plastic wrap and damp towel to prevent drying). Brush entire strip with oil. Place 1 heaping tablespoon cheese filling in center of strip, 1 inch in from 1 short pastry edge. Shape filling into 3-inch-long log, parallel to short edge. Fold short edge, then sides of pastry, over filling. Continue to roll up, enclosing filling completely. Brush all over with oil; place on rimmed baking sheet. Repeat with remaining phyllo strips and filling. Can be made 1 day ahead. Cover and refrigerate.

Preheat oven to 350°F. Bake rolls uncovered until filling is heated through and pastry is golden, about 18 minutes. Transfer to platter; serve hot.

Makes 16.