Prepare the honey mustard sauce. In a small bowl, stir together the honey, both mustards, mayonnaise, vinegar, and cayenne until smooth. Cover and refrigerate until ready to use.
Roll and cut puff pastry. On a lightly floured work surface, gently roll out or trim the puff pastry (depending on its original size) into an 8-by-12-inch rectangle. Then cut into 12 rectangles, each 2 by 4 inches.
Tip: Work quickly. If the puff pastry starts getting warm it becomes harder to use and will not puff up as nicely. Simply place pastry back into the fridge for 5-10 minutes, then continue to work with it.
Assemble. Spoon a ½ teaspoon honey-mustard sauce in the middle of the puff pastry rectangle and place a cocktail sausage on top. Brush both ends of the pastry with a little beaten egg. Tightly roll the puff pastry around the sausage and press to seal. Place rolled piggy’s seam side down, on the sheet pan lined with parchment paper. Repeat to make the remaining pigs in a blanket.
Sprinkle Everything Bagel seasoning and chill: Brush the tops of the rolled pigs in a blanket with the remaining beaten egg and sprinkle with the everything bagel seasoning. Refrigerate, uncovered, for 30 minutes, or cover and refrigerate up to overnight.
Tip: The pigs in a blanket can be wrapped tightly in plastic wrap and frozen up to 3 days.
Preheat air fryer to 400°F. Insert wire rack to position 8, (*If you are using a fry basket spray pigs with oil.)
Air Fry. Remove chilled pigs in a blanket from the refrigerator. Place pigs in a blanket, seam side down, in a single layer in the fry basket, making sure the seam is sealed to prevent the pastry from expanding during frying. Insert the basket into rack position 3 and start the timer for 8 mins.
Tip. Leave some space between each one to promote a constant flow of air, which will maximize crispness.
Check if it’s ready. Cook until the pastry is crisp, flaky, and golden brown if not give it a bit more time, approximately 4 minutes.
Tip: We also rotated the pigs at this point from the front to back.
Serve and enjoy. Remove piggies from the basket. Serve with the remaining honey mustard sauce and a hot mustard.