2 tablespoons butter
1 large yellow onion, thinly sliced
1/2 teaspoons kosher salt
1/4 teaspoons black pepper
1 9- by 9-inch piece, frozen all-butter puff pastry dough, thawed but still very cold
4 5-inch pork hot dogs or beef hot dogs
Chinese hot mustard, or other favorite mustard, for dipping
Preheat oven to 375 degrees. Melt butter in a large skillet over medium heat. Add onion and cook, stirring occasionally, until soft and golden brown, 10 to 12 minutes; stir in salt and pepper. Cool, then finely chop and set aside.
In a small bowl, whisk together 1 tablespoon water and egg to make an egg wash; set aside. Arrange puff pastry on a clean surface and cut into 24 triangles, each about 2 inches wide at the bottom and about 3 inches tall. Transfer to a sheet tray, cover with plastic wrap, and keep refrigerated while working on step 3.
Remove a few pieces of puff pastry from refrigerator at a time, so that the rest remain chilled until ready to use. Spoon about 2 teaspoons onion onto a 3-inch end of each puff pastry triangle, then top with a piece of hot dog. Roll up, starting with hot dog end first. Along the way, using your fingers or a pastry brush, dab the puff pastry with a bit of egg wash to help seal. Transfer to a parchment-paper-lined baking sheet, seam side down.
Brush pigs in a blanket thinly with some of the egg wash and bake until puffed and golden brown, about 25 minutes. Transfer to a platter and serve with mustard.