Heat a medium skillet over medium heat. Add the bacon, onion, and celery, and cook for 4 minutes, until slightly softened. Add the garlic and cook 1 minute more. Remove from the heat and transfer the bacon mixture to a plate. Let cool for 10 minutes.

In a large bowl, combine the sausage, parsley, panko, 1 egg, salt, pepper, and cooled bacon mixture. Mix well to combine. Cover and refrigerate until ready to use.

Meanwhile, on a very lightly floured cutting board, open the puff pastry sheets (you should have 2 sheets, measuring 10 inches by 10 inches). Cut each in half to make 4 rectangles, 5 inches by 10 inches each. Lay each rectangle so the long side faces you.

Remove the sausage mixture from the refrigerator and divide it into 4 portions. Form each portion into the shape of a long log, about 1-inch thick, and place 1 lengthwise in the center of each puff pastry rectangle. (The sausage should stretch the full length of the pastry).

In a small bowl, beat the remaining egg with 1 tablespoon of water. Brush all of the borders of the puff pastry with the egg and carefully roll the pastries over the sausage mixture to create a log shape, making sure the borders overlap slightly. Place each roll seam-side down on a sheet tray lined with parchment paper. Freeze for 30 minutes or refrigerate for up to 1 hour. Reserve the egg wash for later.

Preheat the oven to 400°F. Using a sharp knife, cut each sausage roll into 6 equal portions. Transfer the pieces to a parchment-lined baking sheet, seam-side down, about 1 inch apart. Brush the tops of the rolls with the egg wash. Bake until the puff pastry is puffed and golden on top, 20 to 22 minutes.