Steps:
- Preheat the oven to 375 degrees F. Line a sheet tray with parchment paper.
- In a small bowl, beat the egg, then mix in the Pecorino Romano cheese and black pepper. Set aside.
- Separate the dough into individual triangles. Cut each triangle lengthwise into 3 narrow triangles. Using a pastry brush, brush each triangle with a light layer of the egg mixture. Place a sausage piece on the wide base end of a triangle. Starting at base end of the triangle, roll up toward the pointed end to wrap the sausage. Place on the prepared sheet tray. Repeat with remaining dough and sausage pieces.
- Brush the pigs in a blanket with the remaining egg mixture. Bake until golden brown, 12 to 15 minutes. Arrange on a platter and serve with the pesto for dipping.
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