Step 1

Arrange a rack in the middle of the oven and heat to 400°F. Line a baking sheet with parchment paper. Place the egg and water in a small bowl and whisk to combine to make the egg wash.

Step 2

Lightly flour a cutting board. Unfold 1 sheet of the puff pastry on the cutting board and gently roll it into a 12-inch square. Using a pizza wheel or sharp knife, cut the puff pastry into 9 (4-inch) squares. Brush half of each square with mustard and the other half with the egg wash.

Step 3

Place a sausage in the middle of each square. Fold the mustard side up over the sausage, then continue to roll toward the egg-wash side until the sausage is completely rolled up in pastry. Place on the baking sheet seam-side down. Repeat assembling the remaining pigs in a blanket. Reserve the remaining egg wash.

Step 4

Freeze for 10 minutes. Brush the pigs in a blanket with a thin layer of egg wash. Sprinkle with flaky salt or everything bagel seasoning if desired.

Step 5

Bake until deeply golden-brown, 25 to 30 minutes. Let cool for 5 minutes before cutting crosswise into 1-inch pieces if desired and serving with mustard and ketchup.