In separate shallow bowls, place egg and breadcrumbs. Dip each catfish fillet into egg; then coat in breadcrumbs, shaking off excess.
In a large skillet, heat oil over medium-high heat. (375º F for an electric skillet). Cook the fillets, a few at a time until golden brown and opaque in center, about 3 minutes on each side; drain on paper towels. Spread cut sides of the rolls with pesto.
On bottoms of rolls, layer roasted red peppers, lettuce leaves and provolone; top each with a catfish fillet. Place roll tops on fish.