Preheat oven to 375°F. Make baked beans: Cook bacon in a large skillet over medium heat until crispy, about 10 minutes. Using a slotted spoon, transfer bacon to a paper towel-lined plate to drain fat. Discard all but 1 Tbsp. fat from pan. Add onion to skillet and cook until translucent, about 5 minutes. Stir in beans, brown sugar, molasses, Worcestershire sauce, dry mustard and salt. Cover and cook over medium-low heat for 25 minutes.
Prepare franks: Remove dough from package. (Do not tear dough along perforations.) Cut it in half crosswise. On a lightly floured surface, roll out and stretch one half lengthwise, and then trim short ends to form a 10- by-6-inch rectangle. Cut diagonally into 2 triangles. Roll up 1 hot dog in each triangle from one wide end to a point, pressing lightly to seal. Brush dough with egg. Repeat with remaining dough and hot dogs. Bake on a lightly oiled baking sheet until golden, 15 to 18 minutes. Serve with baked beans.