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Preheat oven to 375°F. Lightly oil a large baking sheet. Melt butter with the sugar and honey in a small saucepan over moderate heat. Remove from heat and whisk in the Dijon until smooth. Let glaze cool completely.
Unfold puff pastry onto a lightly floured work surface and roll out to a 12-inch square. Cut dough in half, then cut each half into 6 triangles. Brush 1 triangle with glaze and season with coarsely ground black pepper. Put 1 piece of hot dog on the wide end of the triangle, then loosely roll up. Put pig in a blanket seam side down on prepared baking sheet. Repeat with remaining triangles, glaze and hot dogs. Brush pigs in a blanket with egg wash and sprinkle with flaky sea salt and coarsely ground black pepper. Refrigerate for 15 minutes.
Bake pigs in a blanket for 30 to 35 minutes, until puffed and golden; rotate the baking sheet halfway through baking. Serve hot.