A calzone is an Italian oven-baked folded pizza that originated in Naples. A typical calzone is made from salted bread dough, baked in an oven, stuffed with salami or ham, mozzarella, ricotta and Parmesan, or pecorino cheese, as well as an egg.
Sandwich-sized calzones are often sold at Italian lunch counters or by street vendors, because they are easy to eat while standing up or walking. Translated “pants legs,” it represented a sort of “walk-around” form of pizza that could be carried out and eaten without utensils, while the damp-in-the-middle pies made in the same pizzerias had to be eaten on the premises with a knife and fork. Fried versions of the calzone are typically filled with tomato and mozzarella: these are made in Apulia and called panzerotti.
So yes, a calzone is baked; a panzerotti is fried (deep fried).