Preheat oven to 400°F (200°C). Line a baking sheet with parchment paper.

Roll out the thawed puff pastry on a floured surface and cut into rectangles large enough to wrap around each hot dog.

Place one hot dog at the edge of each rectangle and roll it up snugly, ensuring the seam side is down.

In a bowl, whisk together the egg and water; brush the tops of each wrapped hot dog with this mixture.

Arrange on the prepared baking sheet and bake for 15-20 minutes until golden brown.

Let cool slightly before serving with mustard or ketchup.