Make Rough Puff Pastry. In a large mixing bowl, whisk together flour and salt. Use a pastry blender or two forks to cut butter into dry ingredients until the largest pieces are the size of small peas. Pour in cold water or milk and stir with a silicone spatula or wooden spoon until a shaggy dough forms.

Flour a surface and a rolling pin. Turn dough out onto surface, and use your hands to pat it into a rough rectangle. Roll the dough into an 8×10" rectangle. Fold dough in thirds, and give it one quarter turn. Roll into an 8×10" rectangle again, fold, and turn. Repeat rolling, folding, and turning until it has been done six times total. Wrap folded dough in plastic wrap and refrigerate for at least one hour, or up to 48 hours.

Preheat oven to 450F. Line two baking sheets with parchment paper. Set aside.

Assemble the pigs in blankets. Flour a surface and a rolling pin. Unfold dough. Roll dough out to 10×14-inch rectangle. Use a large, sharp knife to trim any uneven edges. Brush surface of the dough with dijon mustard.

Use a floured chef’s knife to slice the sheet of dough in half lengthwise, and then into ¾-inch thick strips. Working with one strip at a time, place a cocktail wiener at one end and roll it toward the other end, so that most of the wiener is coiled in dough. Place each piece, dough ends down, on prepared pans. Repeat until you run out of strips, chilling dough for 15 minutes if it becomes warm or soft.

Make an egg wash. In a small bowl, use a fork to whisk together egg and water. Use a pastry brush to brush all exposed dough. Sprinkle with poppy and/or sesame seeds, if desired.

Bake pigs in blankets for 15-17 minutes or until pastry is golden. Let cool a few minutes on pans before removing to a serving platter.

Serve with ketchup and/or mustard, if desired. Pigs in blankets are best the day they are made. Leftovers will keep in an airtight container in the refrigerator for up to 3 days.