Step 1

Preheat the oven to 425 degrees F (220 degrees C). Line a large baking sheet with parchment paper.

Step 2

Place Greek yogurt in a large bowl. Add flour and stir until crumbly. Dust a cutting board with flour. Add dough mixture to the cutting board and knead until smooth, about 5 minutes.

Step 3

Whisk egg and water together in a separate bowl.

Step 4

Roll dough into a 12x6-inch rectangle. Cut dough in half lengthwise. Cut crosswise into 1-inch strips to form 24 strips.

Step 5

Wrap 1 dough strip around a cocktail wiener and place seam side down onto the prepared baking sheet. Repeat with remaining cocktail wieners.

Step 6

Brush egg wash evenly over dough. Sprinkle each pig in the blanket with everything bagel seasoning.

Step 7

Bake in the preheated oven until browned, about 15 minutes.