How to Make It
Place 1 pastry sheet on lightly floured parchment paper; roll out into a 12-inch square. Cut into 3 equal rectangles, then cut each rectangle crosswise into 6 2-by-4-inch strips. Transfer parchment with pastry to a baking sheet. Repeat using additional floured parchment, remaining pastry sheet, and a second baking sheet. You'll have 36 strips total.
Working with 1 pastry strip at a time, lightly brush 1 short edge with beaten egg. Place 1 hot dog piece on opposite short edge and roll up; gently press seam to seal. Arrange pigs in a blanket, seam sides down, 1 inch apart on baking sheets.
Preheat oven to 400°F with racks in upper and lower thirds. Brush tops of pigs in a blanket with egg; sprinkle with coriander, sesame, and salt. Freeze until firm, about 30 minutes. Bake until puffed and golden brown, 20 to 25 minutes. Serve with your choice of mustards and/or ketchup.
To freeze: Transfer frozen pigs in a blanket to sealable freezer bags; freeze for up to 3 months. (To bake from frozen, add 5 minutes to baking time.)