Preheat oven to 400 degrees F. Line two half sheet pans with parchment paper and set aside.
Roll one sheet of defrosted puff pastry on a lightly-floured surface to a rectangle measuring 10-1/2 inches by 14 inches. (Keep the second sheet of pastry covered in the refrigerator while you're working.) Brush with a thin layer of Dijon (about 1 tablespoon).
Use a pastry or pizza wheel to cut the dough lengthwise from the 10-1/2 inch end into seven, 1-1/2 inch wide strips. Cut the dough crosswise from the 14-inch side in four, 3-1/2 inch increments. You'll have 28 rectangular strips of dough.
Dry the cocktail franks well with paper towels. Place one frank at the end of each of the dough strips. Roll the pastry around the franks until you reach the other end of the strips. Pinch the seams to seal and place them 1-inch apart, seam-side down, on the parchment lined baking sheets.
Repeat the process with the remaining sheet of puff pastry, Dijon, and cocktail franks.
In a bowl, beat the egg with the water. Lightly brush the pigs in a blanket with the egg wash and sprinkle with your favorite seasonings, if using.
Chill the pigs in a blanket for 15 minutes. Bake 15-18 minutes until puffed and golden. Serve with mustard, ketchup, barbecue sauce, or cheese dip.
The number of cocktail franks in a package varies by brand. I typically buy two, 14-ounce packages of Nathan's, with a few left over.If making your own Everything Bagel Seasoning from my linked recipe, follow the instructions for un-toasted seasoning, since it will bake on the Pigs in a Blanket in the oven.See the Recipe FAQ's for make-ahead/freezer instructions, and making Pigs in a Blanket with crescent roll dough.