Defrost the puff pastry enough to unfold it but so it's still firm and chilled, about 30 minutes. Use a sharp knife to cut the puff pastry into 2 x 4 inch pieces.
Preheat the air fryer to 400°F/200°C.
Pat the sausages dry with a few paper towels. Spoon 1/2 teaspoon of honey mustard onto the end of each piece of puff pastry, and place a cocktail sausage on top of each.
Gently roll the puff pastry around the sausage, pressing to seal together at the end. Set it seam side down on the board. Brush the top of the puff pastry with egg and sprinkle with bagel seasoning.
Set 6-8 pigs in a blanket in your air fryer basket, seam side down, with space between each one so the air can circulate. Cook for 5-6 minutes, until flakey and crispy. Serve with extra honey mustard or ketchup.
Notes
Homemade Honey Mustard Sauce: Mix together 2 tablespoons of Dijon mustard, 2 tablespoons of honey, and 1 teaspoon of mayonnaise