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Preheat oven to 400°.
Add eggs, Parmesan or Romano cheese, milk, and salt and pepper to a blender. Blend until smooth and well mixed. In ovenproof skillet (I used cast iron), drizzle 1 to 2 Tbsp. of olive oil and heat over medium heat. Pour egg mixture into skillet and cook over medium heat until bottom is set. Place skillet in oven for 10 minutes.
Combine pepperoni and pizza sauce. Remove skillet from oven when done and spread pepperoni and sauce over eggs. Top with shredded cheese and bake another 10 minutes.
Let cool slightly before slicing into wedges.