Heat oil in a deep fryer or heavy skillet to 375°F.
Combine buttermilk, flour, baking soda and egg in bowl and mix until smooth.
Submerge cheese curds into batter and fry in small batches for 60 seconds or until golden brown and then dry on paper towels.
Heat oven to 350°F.
Layer fried cheese curds on the bottom of small spring form pan or oven-safe skillet. Top with shredded cheese and pepperoni and bake 5 minutes or until cheese is melted. Cut into four equal-sized slices and serve with pizza sauce for dipping.