Set aside 1 cup flour. Mix remaining flour, sugar, salt and yeast. Heat water, mustard and butter to 125 °F to 130 °F; stir into flour mixture. Mix in enough reserved flour to make soft dough. Knead 4 minutes. Place in greased bowl, turning to grease top. Cover; let rise in warm place until light and double, about 1 hour.
Punch down dough. On greased baking sheet, roll dough to 14 x 12-inches. Sprinkle ham, cheese and pickle down center third of dough length. Make cuts from filling to dough edges at 1-inch intervals along sides of filling. Bring strips from opposite sides of filling together; twist and place ends at an angle across filling. Cover; let rise in warm place until double, about 30 to 45 minutes. Brush loaf with egg. Bake at 375 °F. for 30 to 40 minutes. Serve warm. Refrigerate leftovers; reheat to serve.