PZ, I do oven fried chicken on a regular basis and I've had egg rolls done in the same fashion that taste almost as good as fried; still crunchy but just missing that unctuousness ...
Prep the egg rolls like normal, spray a baking sheet (lined with parchment paper or foil) with Pam for Grilling, then spray the tops of the egg rolls with Pam as well. 12-15 minutes in a preheated 425 oven or until brown with the seam facing downward and you've got yourself some semi-healthy egg rolls.
Now to find some wonton wrappers and egg roll wrappers for some pulled pork ...