Warm the milk to about 100–110°F (warm to the touch). Stir in the sugar and instant yeast and let rest 5 minutes until slightly foamy. Melt the butter and let it cool slightly, then whisk in the egg and add to the milk-yeast mixture.

Mix & knead

In a large bowl, whisk together the flour and salt. Pour the wet mixture into the flour and stir with a wooden spoon or dough hook until a shaggy dough forms. Knead by hand on a lightly floured surface for 6–8 minutes, or use a stand mixer with the dough hook for 4–5 minutes, until the dough is smooth and elastic and springs back when poked.

First rise

Lightly oil a clean bowl, place the dough in it, cover with plastic wrap or a damp towel, and let rise in a warm draft-free place until doubled in size, about 60–75 minutes.

Filling & Assembly

Prepare filling

While the dough rises, drain any liquid from the cocktail wieners and pat them dry with paper towel. If using cheddar, set it ready. Stir the yellow mustard into a small bowl for easy brushing during assembly (this is optional; you can also brush mustard inside the dough).

Divide dough & roll

When the dough has doubled, punch it down gently and transfer to a lightly floured surface. Divide the dough into 2 equal portions. Working with one portion at a time, roll it into a rectangle about 10 x 14 inches and roughly 1/8–1/4 inch thick.

Slice & fill

Using a bench scraper or sharp knife, slice the rectangle into 12 equal strips (about 1–1.25 inches wide). If using cheese, place a small pinch of shredded cheddar along each strip. Brush a thin line of the yellow mustard down the center of each strip if desired. Place one all-beef cocktail wiener at the end of each strip and roll the dough tightly around the wiener, seam-side down, tucking the ends under slightly so they don't unravel.

Arrange for second rise

Place the wrapped wieners on a parchment-lined baking sheet about 1 inch apart. Repeat with the second portion of dough to make a total of 24 pigs in a blanket. Cover loosely with lightly oiled plastic wrap or a clean kitchen towel and let rest for 20–30 minutes until puffy.

Egg wash & toppings

Preheat the oven to 375°F (190°C). Beat the reserved egg with 1 tsp cold water to make an egg wash and gently brush each roll. Sprinkle sesame seeds or everything bagel seasoning on top if using.

Bake

Bake in the preheated oven for 12–16 minutes, rotating the pan halfway through, until the dough is golden brown and cooked through. If using larger cocktail wieners, bake an additional 2–4 minutes. Remove from oven and transfer to a wire rack to cool slightly.

Serving

Serve warm with brown mustard or other dipping sauces (ketchup, honey mustard, spicy mayo). These are best the day they are made but can be reheated in a 350°F (175°C) oven for 8–10 minutes or microwave briefly.