Preheat oven to 400F (200C) and line a baking sheet with parchment. Set aside.
Lightly flour work surface, roll each pastry sheet out into a 12-inch square, then cut into 4-inch squares. Lightly brush lower half of each square with mustard, centering a sausage on mustard-coated edge. Roll sausages in pastry, pressing seams to tightly seal.
Whisk egg yolk with water in a small bowl. Brush tops of each roll with egg, then sprinkle with poppy seeds, sesame seeds and flaky salt. Cut each at an angle into thirds. Freeze pigs in blankets, uncovered, on a parchment-lined baking sheet until firm, about 15 minutes.
Place rolls 1 inch apart on prepared baking sheets. Bake until pastry is puffed and golden brown, about 35- 40 minutes. Serve warm with mustards and spicy ketchup.