Preheat oven to 350°F. Line two large baking sheets with parchment paper; set aside.
In a small bowl, whisk egg together with 1 tablespoon water to make an egg wash. Cut puff pastry into about 40 triangles, each roughly 1 1/2 inches wide and 4 inches tall. Working with one at a time, arrange a cocktail frank across the wide end of a triangle of puff pastry and roll up snugly, sealing it with a dab of egg wash; transfer to baking sheet. (If puff pastry becomes too soft, chill it for 15 minutes.)
Brush the top of each wrapped cocktail frank with egg wash and sprinkle with poppy seeds. Bake until puffed and golden brown, 30 to 35 minutes.
Meanwhile, in a medium bowl, stir together mustard, honey and lemon juice to make a dipping sauce. Serve the pigs in a blanket while still warm, with the dipping sauce on the side.
Yield: about 40 appetizers.
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