Cut catfish fillets into 1-inch x 1-inch x ½-inch pieces.
Slice cheese into 1-inch x 1-inch x ¼-inch pieces and sausage into ¼-inch rounds.
Cut egg roll wrapper in half. Make an egg wash by mixing egg and water. Brush egg wash on top of egg roll. Stack catfish, cheese and sausage on egg roll, wrap filling and pinch edges closed with a fork.
Add oil to a heavy, small pan, and heat to medium high. Add several wraps at a time, and cook 3 to 4 minutes, turning frequently until golden brown. Remove from pan, and drain on a paper towel.
Serve with Sweet and Sour Sauce.
To make sauce, mix all ingredients in a small pan, and bring to a boil. Reduce heat to simmer, and cook for 10 to 15 minutes, stirring constantly until thickened slightly. The sauce will thicken more as it cools.