Preheat your oven to 375°F (190°C). Line a baking sheet with parchment paper or lightly grease it with cooking spray.
Roll out one can of crescent roll dough on a clean surface. Make sure to seal the perforations where the triangles meet, as you'll need a solid sheet of dough.
Cut the dough into small triangles using a sharp knife, about 3 inches at the base.
Place a mini sausage at the wide end of each triangle and, if desired, add a little shredded cheese on top.
Roll the dough around the sausage and cheese, starting from the wide end, and place them seam-side down on the prepared baking sheet.
Repeat the process with the second can of crescent roll dough.
In a small bowl, whisk together the egg and water to create an egg wash. Brush the mixture over each pig in a blanket to give them a nice golden finish.
Bake in the preheated oven for 15-20 minutes or until golden brown. Keep an eye on them to ensure they do not burn.
Once cooked, remove from the oven and let them cool slightly before serving.
For added flavor, you can sprinkle poppy seeds or sesame seeds on top of the egg wash before baking.