1. For the pigs in a blanket: Cut cheese crosswise into 12 (1/4"-thick) slices, then cut each piece crosswise into thirds; set aside. Divide pizza dough into 36 equal pieces.
2. Working one at a time, flatten each piece of dough into an oval and press a piece of cheese into the center. Place a sausage on top of each piece of cheese, then fold edges of dough completely around sausage and pinch tightly to seal.
3. Preheat oven to 450 degrees. Fill a large pot with 10 cups of water, whisk in baking soda, and bring to a gentle simmer. Working in batches, drop 6 to 8 pigs in a blanket into water and cook for 20 seconds. Remove using a slotted spoon, drain briefly on a paper-towel-lined plate, then transfer cheese-side down to a parchment-lined baking sheet.
4. Using a paring knife, make a shallow cut down the center of each of the pigs in a blanket, being careful not to cut all the way through. Whisk egg yolk and water then brush evenly over pigs in a blanket. Sprinkle tops with salt and bake until deep golden brown, 10 to 12 minutes.
5. For the dipping sauce: Whisk mustard, mayonnaise, honey, and vinegar in a small bowl until smooth. Transfer pigs in a blanket to a platter and serve with dipping sauce.
Source: Hannaford fresh Magazine, January - February 2018