Pigs in a Blanket with Spicy Honey Mustard Sauce - Once Upon a Chef

"TESTED & PERFECTED RECIPE -- Made with cocktail sausages and puff pastry, these fancy pigs in a blanket are a guaranteed crowd-pleaser...."

INGREDIENTS
2 (14 oz) packages cocktail sausages (I use Hillshire Farm Lit'l Smokies)
2 large egg yolks
1 (1-pound) box frozen puff pastry, thawed (I use Pepperidge Farm; see note)
All-purpose flour, for rolling the pastry
1/4 cup mayonnaise, best quality such as Hellmann's or Duke's
2 tablespoons grainy Dijon mustard
1 tablespoon honey
2 teaspoons Tabasco sauce
2 teaspoons red wine vinegar
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