If you want calzone, might favorite place is the Four Kegs out on Jones just off the 95. If you don't have a car, that's out.
For sausage and eggs, go to Tiffany's Cafe on Las Vegas Blvd on the way to downtown. The Duece stops right across the street.Old style counter type diner that's been there 60 years.
1700 Las Vegas Blvd S, Las Vegas, NV 89104
276 N Jones Blvd Ste B, Las Vegas, NV 89107
Luca's Cafe (231 S 3rd St) is an interesting new player on the scene, located in an old church downtown. They have an "Italian Sausage Burrito" on their breakfast menu, and since there are also a variety of sandwiches they may be able to create exactly what you are looking for.