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Unroll the puff pastry sheet and spread a thin layer of tomato sauce all over it. Spread the shredded mozzarella on top of the tomato sauce. Gently flatten the cheese before rolling up.
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Roll up the puff pastry, helping you with its parchment paper. Place in the fridge to set for 15 minutes. In the meantime, preheat the oven to 200°C (390°F).
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Take out the chilled roll and gently remove the paper. Cut it up into 1 cm slices (about a half inch) and carefully place each pinwheel on a baking tray lined with paper, leaving some space in between each piece. Sprinkle some parmesan and oregano over each pinwheel.
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Bake at 200°C (390°F) for 20-25 minutes, or until the puff pastry is golden and the cheese has browned nicely. Take out from the oven and sprinkle some more parmesan and oregano on the warm pinwheels.